Having compiled the following code, using it with either the 1.4.2 or 5 Plug-in in Mozilla or Firefox, focus does not return to the applet when you exit a dialogue box using the keyboard.  Instead it returns to the browser's URL bar.  In IE, it works as expected, with focus returning to the Applet when you Alt-C the dialogue.

package test.dialog;
import java.awt.GridBagConstraints;
import java.awt.GridBagLayout;
import java.awt.Insets;
import java.awt.event.ActionEvent;

import javax.swing.JApplet;
import javax.swing.JDialog;
import javax.swing.JButton;
import javax.swing.JOptionPane;
import javax.swing.JTextField;


public class MainApplet extends JApplet {

    private JTextField txtTest = null;
    private JButton btnTest = null;
    private JDialog dlgTest = null;
    
    private GridBagLayout gblTest = null;
        
    public void start() {
        this.txtTest = new JTextField();
        this.btnTest = new JButton("open dialog");
        
        this.gblTest = new GridBagLayout();
        
        this.getContentPane().setLayout(this.gblTest);

        
        
                this.getContentPane().add(this.txtTest, 
                                this.getConstraints(0, 0, 1, 1, 100, 0, 
                                                GridBagConstraints.BOTH, GridBagConstraints.CENTER, 
                                                new Insets(     2,2,2,2),
                                                2, 2));
                this.getContentPane().add(this.btnTest, 
                                this.getConstraints(1, 0, 1, 1, 0, 0, 
                                                GridBagConstraints.BOTH, GridBagConstraints.CENTER, 
                                                new Insets(     2,2,2,2),
                                                2, 2));
                
                this.btnTest.addActionListener(new java.awt.event.ActionListener() {
                        public void actionPerformed(ActionEvent e) {
                                dlgTest = new JDialog(JOptionPane.getFrameForComponent(getContentPane()), true);
                                dlgTest.show();
                        }
                });
    }
 
    
    private GridBagConstraints getConstraints(int aGridX, int aGridY, int aGridWidth, 
                int aGridHeight, int aWeightX, int aWeightY,
                int aFill, int aAnchor, Insets aInsets, int aPadX, 
                int aPadY) {
        
        GridBagConstraints constraints = new GridBagConstraints();
        
        constraints.gridx = aGridX;
        constraints.gridy = aGridY;
        constraints.gridwidth = aGridWidth;
        constraints.gridheight = aGridHeight;
        constraints.weightx = aWeightX; 
        constraints.weighty = aWeightY;
        constraints.fill = aFill; 
        constraints.anchor = aAnchor;
        constraints.insets = aInsets;
        constraints.ipadx = aPadX; 
        constraints.ipady = aPadY;
        
        return constraints;
    }
    
}

Switching from a JButton to a Button here (i.e. switching from Swing to AWT) fixes the problem.