Neither Java 7 nor Java 8 supports collection literals, as discussed in this question: Are Project Coin's collection enhancements going to be in JDK8?
You can use Google's Guava library if you need only immutable collections. ImmutableList, ImmutableSet and ImmutableMap have several overloaded factory methods or even builders that make creating collections easy:
List<Integer> list = ImmutableList.of(1, 1, 2, 3, 5, 8, 13, 21);
Set<String> set = ImmutableSet.of("foo", "bar", "baz", "batman");
Map<Integer, String> map = ImmutableMap.of(1, "one", 2, "two", 3, "three");
EDIT
Java 9 has added collection factory methods similar to those of Guava:
List.of(a, b, c);
Set.of(d, e, f, g);
Map.of(k1, v1, k2, v2)
Map.ofEntries(
entry(k1, v1),
entry(k2, v2),
entry(k3, v3),
// ...
entry(kn, vn)
);