Lesson plan for teaching java graphics
You could extend (heh) your lesson to include custom painting.

Basically, you do this by extending JComponent or JPanel and overriding the paintComponent() function. This is how "real" Swing components draw themselves, and it gives students a window into how everything works behind the scenes. You could have them draw  basic scenes, animations, or even games. Or you could have them create custom components like circular buttons (disclaimer: I wrote this example).

If you have enough time, you might want to split this into multiple lessons: start with basic Swing, then do a lesson on input listeners, then do a lesson on custom painting. At the end of those lessons they'll have enough knowledge to create some pretty fun programs.

I'd also urge you to stick with functional GUIs instead of using a non-functional chat application. Make a fun calculator that does something like convert dog years, or create a basic game that plays rock-paper-scissors. Encourage students to make these as interesting as possible. IMHO this is much more engaging than a non-functional example gui.