I think it mostly has to do with what environment you want the applications to run in and if you want some commonly-used things set up for you. To run in a browser, you would choose one of the Applet types, for a double-clickable application, choose one of the Application types. The project types basically just give you a skeleton to build from (windows, menus, etc.). For example, the Swing type sets up Swing menus and windows (JFrames), which the AWT type does the same with AWT components (Frame, etc.). If you don't want any of that set up for you, just choose the Java Tool type, where you'll do everything manually. I think that would be the closest to the traditional "blank Java project" that you're looking for (also would be used for creating command-line tools). But, this will give you a JAR file in the end, not a double-clickable application. You might want to just start by skipping Xcode and using a text editor and Terminal to compile and run. It won't manage a large project for you, but it's simpler than using Xcode.
