This is really too big an issue to answer completely in this format. Do yourself a favour and go buy Java Concurrency in Practice. There is no better resource for concurrency on the Java 5+ platform out there. There are whole chapters devoted to this subject.
On the subject of killing your process during a JDBC call, that should be fine. I believe there are issues with interrupting a JDBC call (in that you can't?) but that's a different issue.
