Text box intuitive user-interaction using focus listeners
It is in fact pretty good code, just some small nitpicks:
Order
The fields should go before the methods; in fact, it should be near the front of the class, only after the public static final and private static final fields.
Conventions
This piece of code:

private void jTextFieldFocusGained(FocusEvent evt) {
    if(jTextField.getText().equals(TEXT_DEFAULT))
    {
        jTextField.setForeground(FOCUSED_COLOR);
        jTextField.setText(TEXT_FOCUSED);
    }
}
private void jTextFieldFocusLost(FocusEvent evt) {
    if(jTextField.getText().equals(TEXT_FOCUSED))
    {
        jTextField.setText(TEXT_DEFAULT);
        jTextField.setForeground(COLOR_DEFAULT);
    }
}



In the if statement, if you don't put a new line before the method brace, you shouldn't put a new line before the if brace.

You are inconsistent in order. You set the foreground color first in one, and the text in another. Be consistent.

You should put 2 new lines between methods, and any non-related lines.

It is recommended to have a space after the if.


Naming
evt should be event: names are concise names that shouldn't be abbreviated.
jTextField could just be textField. I know you are using a JTextField, but textField is a more readable name.
Final Code:
private final String TEXT_FOCUSED = &quot;&quot;;
private final String TEXT_DEFAULT = &quot;Type text here...&quot;;
private final Color COLOR_FOCUSED = Color.BLACK;
private final Color COLOR_DEFAULT = Color.LIGHT_GRAY;

private void textFieldFocusGained(FocusEvent event) {
    if (textField.getText().equals(TEXT_DEFAULT)) {
        textField.setForeground(FOCUSED_COLOR);
        textField.setText(TEXT_FOCUSED);
    }
}

private void textFieldFocusLost(FocusEvent event) {
    if (textField.getText().equals(TEXT_FOCUSED)) {
        textField.setForeground(COLOR_DEFAULT);
        textField.setText(TEXT_DEFAULT);
    }
}