I can see two options, which one is better depends on whether you need to be able to have duplicate items.
If you don't need to maintain duplicate items in your list, I would use a SortedSet (probably a TreeSet).
If you need maintain duplicate items, I would go with an LinkedList and insert new items into the list in the correct order.
The PriorityQueue doesn't really fit unless you want to remove the items whenever you do operations.
Going along with the others, make sure you use profiling to make sure you're picking out the correct solution for your particular problem.