Everything that access Swing objects should do so via the Event Dispatch Thread (EDT). There is one small exception to this (which I'll mention later). The purpose of the EDT is to process any events that may occur due to IO (mouse and keyboard events). Quite a lot of the time this can mean altering the layout of your GUI. Swing was not developed to be thread-safe, meaning that that if two thread try to modify the same component at the same time then you can end up with a corrupted GUI. Since there is already one known thread to be accessing Swing components (the EDT), no other thread should attempt to modify them or even read their state.
Now, to the exceptional case when you can manipulate Swing objects outside of the EDT. Before any components have become visible it is not possible for IO to be triggering events. Therefore, the main thread can setup a Swing GUI and then set a single JFrame to be visible. Since there is now a visible frame IO events can occur and the main thread should not try to modify any more Swing components. The should only use this option to get a GUI started, and really only with toy problems.
What I'm saying is that the following is fine and won't cause problems if you're just playing around with stuff.
public static void main(String[] args) {
// create components
JFrame f = new JFrame();
...
// do layout and other bits of setup
// show gui to user
f.setVisible(true);
}