Why not use the best of both worlds? If you are never using it again, sort using a TreeSet and initialize an ArrayList with the contents
List<ComparableObject> sortedCollection =
new ArrayList<ComparableObject>(
new TreeSet<ComparableObject>(map.values()));
EDIT:
I have created a benchmark (you can access it at pastebin.com/5pyPMJav) to test the three approaches (ArrayList + Collections.sort, TreeSet and my best of both worlds approach) and mine always wins. The test file creates a map with 10000 elements, the values of which have an intentionally awful comparator, and then each of the three strategies get a chance to a) sort the data and b) iterate over it. Here is some sample output (you can test it yourselves):
EDIT: I have added an aspect that logs calls to Thingy.compareTo(Thingy) and I have also added a new Strategy based on PriorityQueues that is much faster than either of the previous solutions (at least in sorting).
compareTo() calls:123490
Transformer ArrayListTransformer
Creation: 255885873 ns (0.255885873 seconds)
Iteration: 2582591 ns (0.002582591 seconds)
Item count: 10000
compareTo() calls:121665
Transformer TreeSetTransformer
Creation: 199893004 ns (0.199893004 seconds)
Iteration: 4848242 ns (0.004848242 seconds)
Item count: 10000
compareTo() calls:121665
Transformer BestOfBothWorldsTransformer
Creation: 216952504 ns (0.216952504 seconds)
Iteration: 1604604 ns (0.001604604 seconds)
Item count: 10000
compareTo() calls:18819
Transformer PriorityQueueTransformer
Creation: 35119198 ns (0.035119198 seconds)
Iteration: 2803639 ns (0.002803639 seconds)
Item count: 10000
Strangely, my approach performs best in iteration (I would have thought there would be no differences to the ArrayList approach in iteration, do I have a bug in my benchmark?)
Disclaimer: I know this is probably an awful benchmark, but it helps get the point across to you and I certainly did not manipulate it to make my approach win.
(The code has a dependency to apache commons / lang for the equals / hashcode / compareTo builders, but it should be easy to refactor it out)