If you are in a JEE7 environment, you must have a decent implementation of JAXRS hanging around, which would allow you to easily make asynchronous HTTP request using its client API.
This would looks like this:
public class Main {
    public static Future<Response> getAsyncHttp(final String url) {
        return ClientBuilder.newClient().target(url).request().async().get();
    }
    public static void main(String ...args) throws InterruptedException, ExecutionException {
        Future<Response> response = getAsyncHttp("http://www.nofrag.com");
        while (!response.isDone()) {
            System.out.println("Still waiting...");
            Thread.sleep(10);
        }
        System.out.println(response.get().readEntity(String.class));
    }
}
Of course, this is just using futures. If you are OK with using some more libraries, you could take a look at RxJava, the code would then look like:
public static void main(String... args) {
    final String url = "http://www.nofrag.com";
    rx.Observable.from(ClientBuilder.newClient().target(url).request().async().get(String.class), Schedulers
            .newThread())
            .subscribe(
                    next -> System.out.println(next),
                    error -> System.err.println(error),
                    () -> System.out.println("Stream ended.")
            );
    System.out.println("Async proof");
}
And last but not least, if you want to reuse your async call, you might want to take a look at Hystrix, which - in addition to a bazillion super cool other stuff - would allow you to write something like this:
For example:
public class AsyncGetCommand extends HystrixCommand<String> {
    private final String url;
    public AsyncGetCommand(final String url) {
        super(Setter.withGroupKey(HystrixCommandGroupKey.Factory.asKey("HTTP"))
                .andCommandPropertiesDefaults(HystrixCommandProperties.Setter()
                        .withExecutionIsolationThreadTimeoutInMilliseconds(5000)));
        this.url = url;
    }
    @Override
    protected String run() throws Exception {
        return ClientBuilder.newClient().target(url).request().get(String.class);
    }
 }
Calling this command would look like:
public static void main(String ...args) {
    new AsyncGetCommand("http://www.nofrag.com").observe().subscribe(
            next -> System.out.println(next),
            error -> System.err.println(error),
            () -> System.out.println("Stream ended.")
    );
    System.out.println("Async proof");
}
PS: I know the thread is old, but it felt wrong that no ones mentions the Rx/Hystrix way in the up-voted answers.