Something else I needed for jSuneido was an immutable PersistentList (source). I also improved my PersistentMap (source).
One of the things that was bothering me was that I thought there should be a more efficient way to initially build immutable persistent lists and maps. Creating a new version for every element added seemed like overkill.
When I started looking at the Google Collections Library I found the Builder classes they have for their immutable collections. This seemed like a good approach so I added builders to PersistentList and PersistentMap. (The Guava: Google Core Libraries for Java 1.6 also look interesting.)
To be clear, if you just need a thread safe map or list, the java.util.concurrent ones are just fine. I'm using them in a few places.
And if you just need an immutable collection java.util collections offer the unModifiable wrappers and the Google Collections Library has immutable collections. However, they are not "persistent" (see Language Connoisseur). They don't offer any easy way to create new versions with added or removed elements.
Persistent immutable data structures really shine if you need to make modified versions but still retain full access to previous versions. That's what I need in the jSuneido database code because it implements multi-version concurrency control. Each transactions sees the database "as of" a certain point in time. Persistent immutable data structures are a great fit for this.