Dreamweaver hands down for HTML work. I've heard all the comments before about how horrible it is and how using a WYSIWYG editor is utter failure, but there's a code view for a reason
* Easy Snippet Access
* Lots of "how does that go again?" buttons (AKA Doctypes)
* The "sites" management is a great timesaver compared to having to have a separate FTP client open
* Spry integration has saved me quite a bit of time on things here and there, and CS4 is going to be upgrading the Spry integration even farther.
* Spellchecker (even though it sadly only does one page at a time) has been quite nice.
* The code formatting / coloring is of course nice (which you can find in other editors)
* CS4 is going to be bringing in live imagery (exact name escapes me) which lets you drop in PSDs for example, and whenever you update the PSD it'll be updated (as a proper web image) in dreamweaver.
When it comes to PHP if you're just monkeying around then you'll do fine with Dreamweaver / Notepad++ / whatever other text editor you want. If you want to get more serious about your PHP work then Zend Studio Neon is an amazing tool. If you're programming with the Zend Framework it makes it that much more amazing (check it out if you haven't already, really a nice framework).
When it comes to your webserver setup XAMMP is usually fine for most people, I use a local server to do all of my testing just for the fun of it but it's not really needed.
My work with java is limited but I always found eclipse to be nice. With extensive javascript (extjs for example) I like to use Aptana but that's just personal preference really.