Here's a little something I put on my website to demonstrate applets and the types of things that Swing applications can do. The page has a million applets on it, which slows the page down to a crawl (drawback of fat client?), but it has some good info. It's a place to start!
HTML are thin clients because their less resource intensive - its a markup language, no sandbox, no JVM resources - and they provide a less rich set of GUI capabilities, hence the term 'thin'. HTML uses basically forms to send POST data to the server, whereas a applet uses swing and can communicate with a server via Sockets with no page refreshing required.