I feel it is always useful to have at least one non-SQL development language under your belt. If you already have experience with a language then learning Java on top is a good move.

If you haven't got experience yet and you are primarily a SQL Server guy I'd start by learning C#, you will probably use it more. Java and C# have a lot of similarities which isn't surprising given their history. Once you've learnt C# then applying your knowledge to Java should be relatively straight forward.