I think both systems have their strengths.
You can easily bundle a Java web application and deploy it on numerous App Servers (Tomcat, Glassfish, etc.). Java has a very rich, mature community that feature a lot of great development frameworks and feature-rich IDE's (NetBeans and Eclipse). The technology is portable, so you're never locked into having to choose an OS. And the best part is, most of it is free. Most frameworks in Java are also designed to "place-nice" with each other, so you can actually plug-and-play different features at will (ORM, AOP, IOP Container, etc). This is not particularly true with .NET, there are not that many free libraries/frameworks to use with the technology (and definitely not many with the adoption levels Java frameworks have).
As a matter of preference, I prefer .NET because I think the development environment is just a little bit easier, and the documentation is pretty consistent (I feel more productive). This is not to say that Java doesn't have good documentation, it just tends to be hit or miss dependent on project. In my opinion, Visual Studio is the best development environment; it takes the edge off learning what amounts to a pretty sophisticated website framework. Unfortunately, it costs a bit of money, and the technology is pretty narrowing to the best patterns and practices Microsoft thinks you should commit to (though they tend to borrow liberally from Java, so it usually works out in the end).
I'm sure more people have things to say about this. I hope, you are asking this question in the context of writing some business applications, too. If this is for your own personal website, I would suggest moving to a cheaper (hosting), lighter technology like Ruby or PHP.