I use immutable data structures as much as possible. About the only time I do use mutable structures is when I have to such as with a library that will save a boatload of work. Even then I try to encapsulate that library in an immutable structure. If things can't change then there's less to worry about.
I should add that some things to keep in mind on your future endeavors are STM and Actor models. Both of these approaches to concurrency are showing very good progress. While there is some overhead for each, depending on the nature of your program that might not be an issue.
Edit:
Here are a few links to some libraries you could use in your next project. There's Deuce STM which as the name implies is an STM implementation for Java. Then there's the ActorFoundry which as the name implies is an Actor model for Java. However, I can't help but make the plug for Scala with its built in Actor model.
