Stuff like what comes first in autocomplete (Eclipse's quality in this regard has been somewhat inconsistent). Refactor suggesting intelligent names for variables based on their types.
And then there's the theming. Normally, Swing apps are somewhat ugly and generally obnoxious. The JetBrains folks have put together a Swing LaF that's beautiful and compact, which also contributes to the overall experience just being pleasant.
I'm happier using IntelliJ.