I have a ColdFusion 8.1 application. It gets heavy use and I see jrun.exe getting very high memory usage in the task manager. This is a 32-bit windows 2003 server. When Jrun
Adobe has a Knowledge Base that covers issues like this. Check out http://www.adobe.com/go/2d547983 for instructions.
Sean Corfield has an article that provides some info on using Java 6 with ColdFusion 8 here: http://corfield.org/blog/index.cfm/do/blog.entry/entry/Java_6_and_ColdFusion_8
As long as you install 1.6.0_10 or greater, you should be fine. You might check out ColdFusionBloggers.org from time to time in case other JVM issues come to light in the future.