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Apache Commons Library for Linear Algebra  
COLT   - a set of Open Source Libraries for High Performance Scientific and Technical Computing written in Java and developed at CERN (including Linear Algebra).
CSparseJ   - a Java port of CSparse (a Concise Sparse matrix package)
Efficient Java Matrix Library (EJML)   - a linear algebra library for manipulating dense matrices.
JBLAS   - Linear Algebra for Java (dense matrices): a light-wight wrapper around the BLAS and LAPACK routines. Note that it requires native libraries of the LAPACK and BLAS routines.
la4j   - linear algebra for Java (both sparse and dense matrices)
Matrix Toolkits Java (MTJ)   - a high-performance library for developing linear algebra applications; based on BLAS and LAPACK for its dense and structured sparse computations.
Parallel COLT   - a multi-threaded version of COLT