Hi
I don't use OpenCL yet. Maybe look at Aparapi.
JOGL has given me a small boost compared to OpenGL + GLUT, something between 5 and 15%. I only use the retained mode. Actually, I agree with Wade, the cost of JNI calls is tiny (some nanoseconds), it isn't a bottleneck except if your applications is badly written, uses immediate mode, makes too much thing in the rendering callback...
JOGL is not magic, the boost rather comes from Java itself which can be sometimes faster than C & C++ as the JVM can perform some dynamic optimizations which are totally impossible to design in strictly compiled languages, the JVM can optimize the memory use more easily thanks to the absence of pointers, it has its own heap that reduces the cost of allocations, method calls and allocations are between 2 and 4 times faster in Java according to Brian Goetz.