O tal SwingWorker

public class SwingThread extends JPanel {
	private JButton threadButton;
	private JButton nonThreadbutton;
	private JButton swingWorkerButton;
	private JProgressBar progressBar;

	public SwingThread() {
		this.add(this.getProgressBar());
		this.add(this.getSwingWorkerButton());
		this.add(this.getThreadButton());
		this.add(this.getNonThreadbutton());
	}

	public JButton getThreadButton() {
		if (this.threadButton == null) {
			this.threadButton = new JButton("Thread Process");
			this.threadButton.setPreferredSize(new Dimension(200, 22));
			this.threadButton.addActionListener(new ActionListener() {
				public void actionPerformed(ActionEvent e) {
					executeThread();
				}
			});
		}
		return this.threadButton;
	}

	public JButton getNonThreadbutton() {
		if (this.nonThreadbutton == null) {
			this.nonThreadbutton = new JButton("Process");
			this.nonThreadbutton.setPreferredSize(new Dimension(200, 22));
			this.nonThreadbutton.addActionListener(new ActionListener() {
				public void actionPerformed(ActionEvent e) {
					execute();
				}
			});
		}
		return this.nonThreadbutton;
	}

	public JButton getSwingWorkerButton() {
		if (this.swingWorkerButton == null) {
			this.swingWorkerButton = new JButton("SwingWorker Process");
			this.swingWorkerButton.setPreferredSize(new Dimension(200, 22));
			this.swingWorkerButton.addActionListener(new ActionListener() {
				public void actionPerformed(ActionEvent e) {
					executeSwingWorker();
				}
			});
		}
		return this.swingWorkerButton;
	}

	public JProgressBar getProgressBar() {
		if (this.progressBar == null) {
			this.progressBar = new JProgressBar();
			this.progressBar.setPreferredSize(new Dimension(300, 22));
		}
		return this.progressBar;
	}

	public void execute() {
		new MyProcess().execute(this.progressBar);
	}

	public void executeSwingWorker() {
		final SwingWorker s = new SwingWorker() {
			public Object construct() {
				execute();
				return null;
			}
		};
		s.start();
	}

	public void executeThread() {
		Runnable r = new Runnable() {
			public void run() {
				execute();
			}
		};
		new Thread(r).start();
	}

	public static void createAndShowGUI() {
		JFrame frame = new JFrame();
		frame.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
		frame.setContentPane(new SwingThread());
		frame.pack();
		frame.setVisible(true);
	}

	public static void main(String[] args) {
		SwingUtilities.invokeLater(new Runnable() {
			public void run() {
				createAndShowGUI();
			}
		});
	}
}
class MyProcess {
	public void execute(JProgressBar progressBar) {
		System.out.println("Process...");
		int value = 0;
		while (value <= 100) {
			try {
				Thread.sleep(1000);
			} catch (InterruptedException e) {
				e.printStackTrace();
			}
			progressBar.setValue(++value);
			System.out.print(".");
			if (value == 20 || value == 50 || value == 80) {
				JOptionPane.showMessageDialog(progressBar, "Valor está em "
						+ value);
			}
		}
		System.out.println("\n...end");
		JOptionPane.showMessageDialog(progressBar, "Processo Finalizado...");
	}
}

abstract class SwingWorker {
	private Object value; // see getValue(), setValue()

	private static class ThreadVar {
		private Thread thread;

		ThreadVar(Thread t) {
			thread = t;
		}

		synchronized Thread get() {
			return thread;
		}

		synchronized void clear() {
			thread = null;
		}
	}

	private ThreadVar threadVar;

	protected synchronized Object getValue() {
		return value;
	}

	private synchronized void setValue(Object x) {
		value = x;
	}

	public abstract Object construct();

	public void finished() {
	}

	public void interrupt() {
		Thread t = threadVar.get();
		if (t != null) {
			t.interrupt();
		}
		threadVar.clear();
	}

	public Object get() {
		while (true) {
			Thread t = threadVar.get();
			if (t == null) {
				return getValue();
			}
			try {
				t.join();
			} catch (InterruptedException e) {
				Thread.currentThread().interrupt(); // propagate
				return null;
			}
		}
	}

	public SwingWorker() {
		final Runnable doFinished = new Runnable() {
			public void run() {
				finished();
			}
		};

		Runnable doConstruct = new Runnable() {
			public void run() {
				try {
					setValue(construct());
				} finally {
					threadVar.clear();
				}

				SwingUtilities.invokeLater(doFinished);
			}
		};

		Thread t = new Thread(doConstruct);
		threadVar = new ThreadVar(t);
	}

	public void start() {
		Thread t = threadVar.get();
		if (t != null) {
			t.start();
		}
	}
}

SwingWorker<ArrayList<Orcamento>, Void> worker = new SwingWorker<ArrayList<Orcamento>, Void>() {

        @Override
        public ArrayList<Orcamento> doInBackground() {
            progressBar.setString("Carregando...");
            progressBar.setIndeterminate(true);
            ArrayList<Orcamento> lista = new com.sikgraf.dao.OrcamentoDAO(c).lista();

            return lista;
        }

        @Override
        public void done() {
            ArrayList<Orcamento> lista = null;
            try {
                lista = get();
                ArrayListComboBoxModel modelOrcamentos = new ArrayListComboBoxModel(lista);
                modelOrcamentos.insertElementAt("-- Relação de Orçamentos --",0);
                cbOrcamentos.setModel(modelOrcamentos);
                cbOrcamentos.repaint();
                cbOrcamentos.getModel().setSelectedItem(cbOrcamentos.getModel().getElementAt(0));
            } catch (InterruptedException ex) {
                Logger.getLogger(OrcamentoUI.class.getName()).log(Level.SEVERE, null, ex);
            } catch (ExecutionException ex) {
                Logger.getLogger(OrcamentoUI.class.getName()).log(Level.SEVERE, null, ex);
            }
            progressBar.setIndeterminate(false);
            progressBar.setString("Carregado(s) "+(lista==null?"0":lista.size())+" Orçamentos");
        }
    };
    worker.execute();