Heh. True enough.
Anyways, I just played through the game a few times. I think I should say first of all that I am a C++ programmer, and I don't know any Java, so I might not be the best person to be reviewing this. But I heard that the languages are pretty similar. I have never designed an online applet though, so the rules might be different.
First and foremost, I think that there should be load screens... I have broadband, and I had to wait for quite a while without any sign that the game hadn't frozen on me.
Once actually in the game, I found a few glaring problems...
When turning, you turn 45 degrees at a time. That's a part of the game design, but I think it's bad design myself.

It just doesn't feel right to have your car change directions by such a HUGE amount every time you press the arrow key. Perhaps a system where you simply check if the key is down and change by one degree per update would work better, and to not use built in controls? I'm not sure if you can do that in Java, but in C, you can access input in two ways... you can check the state of the key's hardware, or you can use the method that acts like a rapid fire button, that presses once, and then starts rapidly repeating after a set time interval. You are using option #2, when I think option #1 is better for game design.
When going really fast, your car won't move smoothly. I have an Athlon XP 1800+, so I doubt that my CPU couldn't emulate the Java virtual machine fast enough... Like I said, I am not a Java programmer, but I think that the animation should be smoothed out if at all possible. In C, I would likely increase the number of frames that render per second on faster processors.
The physics model wasn't really all that good. Driving on the grass and driving on the pavement didn't seem to have much effect on the speed you accelerated at. However, collisions with the walls did seem to work fairly well.
I think the game should be slowed down somewhat, as I never was able to max out the car I was driving, and I just felt that I was accelerating WAY too fast.
Anyways, I was rather impressed, and is quite a good show for your first game. Don't get dissappointed, and keep developing your skills. Most people's first games totally suck, but yours is a level above most.