swing is slow, that's all. Now it depends what you want to do with it.
It works great for most apps.
There are not a lot of applications that require too much speed from
swing. I have an application
that handles real time data. Displaying real time data on any GUI is
slow and it's slowing down
the whole app, but it depends how you design the application. It is
memory hungry if you don't use
it right. Swing has more functionality than any GUI toolkit and it is
really easy to develop swing apps
because it gives you total control.

I can't tell you much about Winforms. I know that it doesn't do layouts
well (not too many, anyway).