Even though Java Applets are a somewhat rare sight these days, I still run across a web site or two (like iShares.com) that has a useful embedded Java Applet. Since Microsoft no longer distributes their own JVM, most web sites direct users to download the giant and clumsy JVM plugin from Sun.
But you don't have to! You can still find Microsoft's JVM out there on the net for download. Apparently, developers who have written apps in MS Visual J++ (hey wait a sec, that's me!) have the right to redistribute the JVM, and many have posted the JVM for download on their site. See http://hp.vector.co.jp/authors/VA012735/vm_en.html, for example.
Even though Microsofts JVM is older, it still runs most Java Applets you'll find, and it is much much faster and more integrated with IE than Sun's bloated plugin (meaning: won't hang the browser like Sun's plugin).
Update - 01/09/05
You can also very easily remove the MS Virtual machine by opening a command line (or File/Run) and typing:RunDll32 advpack.dll,LaunchINFSection java.inf,UnInstall
That'll do the trick, but you'll also want to delete some registry and file system gruft. More details can be found here: http://www.helpwithwindows.com/WindowsXP/howto-21.html