Running Java Applets can be both a blessing and a curse. There are some pretty cool things being done with both Java and JavaScript on the web these days. Loading Java Applets tends to make loading pages very slow. In many cases you won't miss much that's important by turning Java off and you'll almost always be alerted that there's some Java piece that's missing, so you can go turn it on and reload the page if you want to.
JavaScript (or JScript in Internet Explorer) tends to be much faster to load. The benefits of having JavaScript on are great, but if you find that every time you go to a particular site, your browser or machine locks up, then JavaScript may be the reason why. Either turn it off when going to that site or go somewhere else instead.
You can turn off Java and JavaScript in the Preferences Dialog window of most browsers.