Personally, I think this site is best for specific game programming questions that you have. Since learning game development is quite a broad subject, there are plenty of varying opinions on it.
Firstly, I would start very small. If you know Java, then use it. Don't worry about people saying you need to use C++, there's plenty of time that later. If you're comfortable with AWT or Swing, use it, rather than looking up OpenGL libraries.
Start by making a simple word game (E.g. Hangman, Word Jumbles, etc). This will give you experience on the fundamentals of game play. Then a tic-tac-toe game, this will introduce you to very basic graphics.
You can extend on tic-tac-toe to have a computer opponent, which would introduce you to very basic AI (even if the computer just places its piece on random squares)
Once you've made very some simple games like that, move on to 2D graphics. I'm sure you can find OpenGL wrappers for Java and use that. You could make Pong or (slightly harder) Tetris.
You could also use C# and XNA for this. C# is very similar to Java and XNA is a fairly all-inclusive API for making both 2D and 3D games.
Get some books on what you're interested in (Game Coding Complete is a good book that introduces all of the fundamentals you need to make games. Amazon Link: Game Coding Complete).
After you're comfortable with 2D, start making simple basic 3D games. It doesn't have to be the next big shooter, or an MMORPG, it could potentially be 3D versions of the 2D games you've already made.
DON'T get caught up in all this talk of game engines and C++ and don't try and get ahead of yourself. When you're too ambitious when starting out, you end up getting stuck on a problem, get frustrated and give up on it.
The only way to learn and progress is to keep making games. You can use bits of reusable code in your later projects, but focus on making a playable game before you start refactoring code and optimizing.
Of course when you do get stuck, you've got sites like this to help and places like www.gamedev.net.
Woah, that turned out to be a long answer, but I really hope it helps.
Good luck :)