One thing I noticed is that balloons do not show outside of the boundaries of the window that they are in. This gets kind of annoying, especially where I'm using it, which is to notify the user that they have caps lock on and that they should turn it off in a tiny login window. It shouldn't be too hard to fix this. A while back, I wrote my own implementation of a popup menu by converting the location that the user clicked, relative to the component, to screen coordinates (there is a method in SwingUtilities for doing this), creating a modeless, always-on-top, undecorated JDialog at the screen point specified, and drawing a popup menu inside it. A focus listener was then added to the dialog that hid it when it lost focus, or when a menu item was clicked. Perhaps something similar could be done with balloons. The portion of the balloon that is within the parent frame could be rendered as-is, and a JDialog that starts at the edge of the frame could render the rest. The balloon would probably have to be forced to use straight corners to avoid having to make portions of the dialog itself transparent.
Just a suggestion, albeit one I would really like to see happen.