I am on a Java learning spree recently, however I am normally a .NET developer. (So please forgive my newbie questions.)
In .Net I can develop ASP.Net pages without using IIS, as it has a watered down web server (Cassini, I think it's called).
Does Java or a Java IDE have something similar so I can write and test JSP and Java Servlets without the need of a full-blown app server (Tomcat etc.)?
Also if there is one, does it work on Windows?
Tomcat actually isn't a fullblown appserver. It's just a servlet container (i.e. implementing only web component of the (indeed huge) Java EE API) It's only around 6MB big. Glassfish, JBossAS, Weblogic and Websphere as being full Java EE API implementations may be called as "fullblown appservers".
You can also consider Eclipse Jetty. It has a small footprint (download is only 2.2MB) and is useable as an embedded server and even runnable from a plain vanilla Java class.
As to IDE's, both Tomcat and Jetty are by default supported in "Eclipse for Java EE developers". You can easily integrate them in Servers view and then just associate your web project with it. Here's a nice video tutorial how to get started with servlet development with Eclipse and Tomcat.
As to working on Windows, Java is platform independent. You just need to have a platform-compatible JRE installed. Then any Java software will be able to run on the particular platform. Sun has a JRE for Windows --which is by the way also included in the JDK, if you already have one.
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