Java – Is Java an Open Source Programming Language?

It depends entirely on which JVM you use.

If you use the OpenJDK JVM, then you can get the source code from here (or here from a list of OpenJDK projects, or here from a list of GitHub mirrors).
If you use the Kaffe JVM, you can get the source from here.
If you use the Sun JVM version 6 or later, then you can get the source from here.

If you use a Sun JVM earlier than 6, then you can often get the source under an academic license. If you use an IBM, Oracle, HP, or other JVM, then the source is not open.

Update May 2013

The Version 6 source can still be accessed by the above link, or it can be accessed via this link. This latter link also includes a handy genealogy table that shows how the Oracle JDK and OpenJDK versions match with each other.

Additionally, a more up to date version of the Java 7 source can be found here. This also includes the fixes for the releases of Java 7 since GA.

And, of no surprise to anyone, the Java 8 sources can be found here.

Is Java a cross platform?

Java is cross platform in the sense that a compiled Java program runs on all platforms for which there exists a JVM. (This holds for all major operating systems, including Windows, Mac OS and Linux.)

I mean I can develop Java application in windows and use it in mac and Linux?

Yes, this is possible.

This (and the security aspect) is one of the main advantages of running the programs in a virtual machine.

If yes how?

• Write your application in Java (In .java files)
• Compile your application using Eclipse or javac (into .class files)
• (Optionally) Bundle your .class files in an executable (.jar file)

The very same .jar file can be distributed and executed on Windows systems, Mac systems, etc.

I find application written in Java, has two setup file one for windows and other for mac. This confuses me.

This is because some applications rely on platform-specific features. They are then bundled with different platform-specific libraries.

Unless you're developing an application that itself relies on platform-specific features, (such as for instance low-level system calls), you should be able to do just fine with ordinary Java.

Important comment by @Peter Lawrey:

It can be while the application is platform independent, the setup program is not. e.g. IntelliJ has three platform specific installers which are not written in Java, but have a zip which you can just unzip on any platform and it will work.