Advantages of JSP:

Following is the list of other advantages of using JSP over other technologies:

• vs. Active Server Pages (ASP): The advantages of JSP are twofold. First, the dynamic part is written in Java, not Visual Basic or other MS specific language, so it is more powerful and easier to use. Second, it is portable to other operating systems and non-Microsoft Web servers.
• vs. Pure Servlets: It is more convenient to write (and to modify!) regular HTML than to have plenty of println statements that generate the HTML.
• vs. Server-Side Includes (SSI): SSI is really only intended for simple inclusions, not for "real" programs that use form data, make database connections, and the like.
• vs. JavaScript: JavaScript can generate HTML dynamically on the client but can hardly interact with the web server to perform complex tasks like database access and image processing etc.
• vs. Static HTML: Regular HTML, of course, cannot contain dynamic information.
• What is Next?

I would take you step by step to set up your environment to start with JSP. I'm assuming you have good hands on with Java Programming to proceed with learning JSP.
If you are not aware of Java Programming Language then I would recommend to go through Java Tutorial to understand Java Programming.