You can certainly create great looking UI's in Swing - applications such as NetBeans and IntelliJ IDEA have proved this amongst many others.
The only alternative Swing has is SWT(Eclipses toolkit), however it's not portable as Swing and not as flexible as well. It offers, however, faster performance and the use of native components, which might be what some people actually want.
There are Java bindings for most existing GUI toolkits as well - for example Java for Gnome and someone might find them interesting.
I however favour Swing's extreme portability, MVC adoption, pluggable look and feels, availability of lots of third party libraries with additional components(SwingX, JIDE, ...) and ease of use.
Btw for optimal results in Swing, choosing a good layout manager is essential - I recommend you to have a look at the almighty MiG layout.