Questioner here, I have got to say getting a tool that does not take 5 minutes to answer any click makes it a lot easier to find potential memory leaks.
Since people are suggesting several tools ( I only tried visual wm since I got that in the JDK and JProbe trial ) I though I should suggest a free / open source tool built on the Eclipse platform, the Memory Analyzer (sometimes referenced as the SAP memory analyzer) available on http://www.eclipse.org/mat/ .
What is really cool about this tool is that it indexed the heap dump when I first opened it which allowed it to show data like retained heap without waiting 5 minutes for each object (pretty much all operations were tons faster than the other tools I tried).
When you open the dump, the first screen shows you a pie chart with the biggest objects (counting retained heap) and one can quickly navigate down to the objects that are to big for comfort. It also has a Find likely leak suspects which I reccon can come in handy, but since the navigation was enough for me I did not really get into it.