In Hidden Features of Java the top answer mentions Double Brace Initialization, with a very enticing syntax:
Set flavors = new HashSet
I second Nat's answer, except I would use a loop instead of creating and immediately tossing the implicit List from asList(elements):
static public Set setOf(T ... elements) { Set set=new HashSet(elements.size()); for(T elm: elements) { set.add(elm); } return set; }