The EMMA plugin for Eclipse is my latest addition to the "can't live without it" category. It allows you to run applications and test suites from within Eclipse and gather code coverage ... better yet, that code coverage data is shown visibly in your code, much as it is in an HTML Cobertura report.
The plugin is slick, fast, easy and non-intrusive.
The one thing you do need to do is split your output directories, so that production code goes into bin, and test code goes into test-bin; this allows you to turn off coverage information for your test classes, and just gather
Of course, IDEA also has code coverage, based on EMMA, built right in.