This makes Java very responsive to user input. It also helps to contribute to Java's robustness and provides a mechanism whereby the Java environment can ensure that a malicious applet doesn't steal all of the host's CPU cycles.
Unfortunately multithreading is so tightly integrated with Java, that it makes Java rather difficult to port to architectures like Windows 3.1 or the PowerMac that don't natively support preemptive multi-threading.
There is a cost associated with multi-threading. Multi-threading is to Java what pointer arithmetic is to C, that is, a source of devilishly hard to find bugs. Nonetheless, in simple programs it's possible to leave multi-threading alone and normally be OK.