There are importers for the following types: OBJ,DAE,3DS,ASE,MD[235],MS3D,X3D
As for tutorials, the jme source contains a packgae ‘jmetest’ there exists a small test case for pretty much every feature of jme, so you always have a small example to see how it works.
If jme is a good fit for you, I suggest that you start with jme 1.0 as this has more tutorials and examples currently. I recommend that you download the latest cvs source, as this gives you the latest fixes and features. Information for downloading the source can be found at http://www.jmonkeyengine.com/wiki/doku.php?id=getting_started.
As a former java3d user myself, I think that you will find jme MUCH better. It is greatly more optimized as it builds on lwjgl, allowing fast direct access to opengl,openal, and jinput. The com.jmetest package is loaded with examples to get you started, particularly the com.jmetest.TutorialGuide and jmetest.flagrushtut packages.