Remove-Last-Comma-Problem

for ( String p : paramList )
{
  if (result.length() > 0) result.append( ", " );
  result.append( p );
}

One of possible ways is a using Joiner from Google Guava library:

result = Joiner.on(", ").join(paramList);

I believe it's better to know how to write it and then use a library. I usually prefer to make a check before the loop, thus avoiding to have to check every time in the loop:

int size = paramList.size();
if (size > 0) {
    result.append(paramList.get(0));
    for (int i = 1; i < size; ++i) {
        result.append(", ").append(paramList.get(i));
    }
}

A couple of alternate options here - any of such can simply only resolve to making the intentions clear, although it's hardly an issue.

It might be a little clearer, albeit not much, using lastIndexOf:

String withoutLastComma = result.substring(0, result.lastIndexOf(","));

Or just refactor a little, which could be more explanatory:

StringBuilder result = new StringBuilder();
for (int i = 0; i < paramList.size(); i++)
{           
    result.append(paramList.get(i));
    if (i + 1 != paramList.size())
        result.append(", ");
}
System.err.println(result);

Or, lastly, use a string utility library as linked in other answers provided; though, the thought of doing so brings the term 'sledgehammer to crack a nut' to mind, but it might well be justified depending on what other operations you require to carry out.

What I use is

List<String> paramList = new ArrayList<String>( );
paramList.add("param1");
paramList.add("param2");

String separator = "";

StringBuilder result = new StringBuilder();
for (String p : paramList)
{
    result.append(separator)
    result.append(p);
    separator = ", ";
}

System.err.println(result.toString());

Less intuitive but a bit neater

for (String p : paramList) {
    result.append(" ,").append(p);
}

System.err.println(result.substring(2));

That's strange that nobody has mentioned iterator-wise approach so far.

So here it goes:

public static <E> String join(Iterable<E> iterable, String delim) {
    Iterator<E> iterator = iterable.iterator();
    if (!iterator.hasNext()) {
        return "";
    }

    StringBuilder builder = new StringBuilder(iterator.next().toString());
    while (iterator.hasNext()) {
        builder.append(delim).append(iterator.next().toString());
    }

    return builder.toString();
}

No messing with indexes, substringing, etc, etc.

And let's use it:

List<Integer> list = Arrays.asList(1, 2, 3, 4, 5, 6, 7);
System.out.println(join(list, ", "));

String listString = Arrays.toString(paramList.toArray());
System.err.println( listString );

Will return:

[param1, param2]

This has the added benefit of using the String.valueOf(object) method which will print 'null' in the case of null objects. The Arrays.toString() method is also pretty straight forward if you just want to reimplement it. Removing the brackets:

    int iMax = paramList.size() - 1;
    if (iMax == -1) {
      return "";
    }
    String[] params = paramList.toArray();
    StringBuilder b = new StringBuilder();
    for (int i = 0; ; i++) {
      String param = params[i];
      b.append(param);
      if (i == iMax) {
        return b.toString();
      }
      b.append(", ");
    }

The following approach is general - it does not assume that you can look back at the results or check how many items are remaining.

List<String> paramList = new ArrayList<String>( );
paramList.add("param1");
paramList.add("param2");

String[] prefixes = {"", ", "};
int prIndex = 0;
StringBuilder result = new StringBuilder();
for (String p : paramList)
{
    result.append(prefixes[prIndex]).append(p);
    prIndex = 1; // Overwriting this is very cheap.
}

System.err.println(result.toString());

I know this pattern from SQL. You might have WHERE-Conditions or not, and if you have, the second starts with "AND", not ",". Pseudocode:

sSql = " ...." + 
       " FROM foo, bar, baz " + 
       " WHERE 1 = 1 " 
if (x) sSql.append (" AND x = ?") 
if (y) sSql.append (" AND y LIKE ?") 
if (z) sSql.append (" AND z ") 

and in a similar way, you can use a dummy column in SQL, to add dynamically every additional column with a starting ", " (pseudocode again, rb := think: radio button):

sSql = "SELECT 'dummy' ";
if (rbName) sSql += ", name ";
if (rbCity) sSql += ", city ";
if (rbZip)  sSql += ", zip ";

Of course, you can't always use a dummy, but sometimes you can.