Microsoft used to ship a module called JLCA (Java Language Conversion Assistant) that enables us to covert Java code to .NET code. This tool was shipped as part of VS 2005, but unfortunately is no longer shipped with VS 2008. Please read Microsoft's statement here regarding JLCA.
I had a quick look at the tool by launching it from VS 2005 and selecting a few Java util libraries. The results looked good, but we need to understand that 100% conversion is not possible. The tool puts in a lot of comments in the generated .NET code, so all errors and warning are maked in the generated code. Also a cool HTML report is generated that mentions the errors and warnings. I could find tons of errros/warnings, but most of them fell into expected categories such as no direct mapping between Java and .Net classses, etc.
ArtinSoft offers an enhanced version of the JLCA tool called JLCA Companion. I have not evaluated this, but the documentations states interesting features for customization.
To summarize, I believe such migration tools are useful to jumpstart the process and have a foundation ready to work on.