The DatatypeConverter solution doesn't work in all VMs. The following works for me:
javax.xml.datatype.DatatypeFactory.newInstance().newXMLGregorianCalendar("2011-01-01Z").toGregorianCalendar().getTime()
I've found that joda does not work out of the box (specifically for the example I gave above with the timezone on a date, which should be valid)