A handmade JVM would be a great way to learn about virtual machines in general, the issues of program language design (through the JVM spec), and the nitty gritty of parsing and so forth.
If you choose to take it in that direction, you could also explore optimizations, which is where it can get interesting, and you can take research papers and implement their algorithms.
That being said, if you're less interested in the long and arduous task of creating a VM from scratch, you might want to modify an existing open source VM like Kaffe. It will show you what a virtual machine does, but not necessarily how Java code works in Sun's JVM:
Kaffe is a clean room implementation of the Java virtual machine, plus the associated class libraries needed to provide a Java runtime environment.
This way, you could study the details, but dive in to implementing more interesting features.
