Finally got around to doing this awhile ago and I love it.
First you need to download the Java source. I got mine here (look for "Java SE 6 JDK Source Code"): http://www.oracle.com/technetwork/java/javase/downloads/index.html. Download that and stick it somewhere on disk that you can find easily. Keep in mind that the JAR you download has to actually be "installed" somewhere via you agreeing to a license agree (extract it with jav xvf jarname.jar and check the README it contains).
For any JAR file on your CLASSPATH in Eclipse, you can add a source attachment to it to point to its source code. The easiest thing to do is bring up the Package Explorer view. Underneath your project, you should see an item for your Java Runtime Environment (JRE) (mine is called "JRE System Library [JavaSE-1.6]"). Click on the expansion arrow for that and you'll see a list of JARs.
Most all of the Java classes you'll care about viewing are stored in "classes.jar". Right-click on that JAR and select "Properties". In the left hand menu, select "Java Source Attachment". On the right side, click "External Folder" and find the source code that you downloaded and installed and put that folder into the "Location path" field. Hit "Apply" and "OK".
Now you should be able to right click on any built-in Java class in your code and use the "Open Declaration" command or when debugging you will now step into the Java source.
It's a great capability to have. Enjoy!