I'm trying to find a Java library to highlight code. I don't want to highlight Java code. I want a library that will easily allow me to highlight a macro language of my own, in a code editor of my own written in Java.
GesHi is pretty good. There is a list of highlighters here.
UPDATE: missed that you wanted a java lib. Try jedit syntax package.
JSyntaxPane may be the way to go. It will highlight a number of languages and is extensible to handle others.
JSyntaxPane is decent. Advanced and decent IDEs use either Lexer/Parsers such as Antlr and Javacc or regular expressions. Implementing it correctly is not a trivial task.
As you mentioned "a macro language of my own", I suggest taking a look at Lexer/Parser generators for Java and maybe JEdit syntax package source code(google it, reached the maximum hyperlinks) for lexing strategies.
You may want to take a look at xtext - it does a lot more than syntax highlighting; in fact, you only have to define a grammar, and it will generate an eclipse editor plugin with outline, syntax highlighting, syntax checking and autocompletion automatically. It could save you a lot of work if an eclipse editor plugin is an acceptable end result for you.