The monkey logo and light blue progress bar don’t fit/look nice enough atm, so some improvements there could be done
Really nice that your using the pack200/lzma stuff, should really cut down the size.
Consider using LWJGL’s Display.initalBackground(r,g,b) api, this was added specially for applets to get a nice seamless switch from the appletloader to the lwjgl applet, so if your defaulting to a white background for the appletloader you should set the initial color of Display to white, Display.initialBackground(1f, 1f, 1f); which is called before Display.create(), should make the switch much nicer.
Many cards out there don’t support OpenGL 2.0 yet, so its not very nice for those users, it just silently crashes for them with an exception on the java console. You should catch this exception and then just show a message explaining this to them (can be done with java2d).
Other then that pretty awesome work.