Java 9+

In Java 9, you can simply write: Map.entry(key, value)
to create an immutable pair.

Note: this method does not allow keys or values to be null. If you want to allow null values, for example, you’d want to change this to: Map.entry(key, Optional.ofNullable(value)).

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Java 8+

In Java 8, you can use the more general-purpose javafx.util.Pair to create an immutable, serializable pair. This class does allow null keys and null values. (In Java 9, this class is included in the javafx.base module). EDIT: As of Java 11, JavaFX has been decoupled from the JDK, so you’d need the additional maven artifact org.openjfx:javafx-base.

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Java 6+

In Java 6 and up, you can use the more verbose AbstractMap.SimpleImmutableEntry for an immutable pair, or AbstractMap.SimpleEntry for a pair whose value can be changed. These classes also allow null keys and null values, and are serializable.

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Android

If you’re writing for Android, just use Pair.create(key, value) to create an immutable pair.

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Apache Commons

Apache Commons Lang provides the helpful Pair.of(key, value) to create an immutable, comparable, serializable pair.

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Eclipse Collections

If you’re using pairs that contain primitives, Eclipse Collections provides some very efficient primitive pair classes that will avoid all the inefficient auto-boxing and auto-unboxing.

For instance, you could use PrimitiveTuples.pair(int, int) to create an IntIntPair, or PrimitiveTuples.pair(float, long) to create a FloatLongPair.

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Hand-rolled implementations

As of Java 16, records have come out of preview status, so you can now do:

public record Pair<K, V>(K key, V value) {
    public static <K, V> Pair<K, V> of(K key, V value) {
        return new Pair<>(key, value);
    }
}

The above implementation will have a big advantage in the future, as it’ll allow you to do record deconstruction.

Prior to Java 16, you can achieve the same semantics with Project Lombok:

@Value(staticConstructor = "of")
public class Pair<K, V> {
    K key;
    V value;
}

or, with the following verbosity (which, unlike the class listed in the accepted answer, guards against NullPointerExceptions, and has a robust hashCode() implementation identical to that of Records¹):

import java.util.Objects;

public class Pair<K, V> {

    public final K key;
    public final V value;

    private Pair(K key, V value) {
        this.key = key;
        this.value = value;
    }

    public static <K, V> Pair<K, V> of(K key, V value) {
        return new Pair<>(key, value);
    }

    public boolean equals(Object o) {
        return o instanceof Pair && Objects.equals(key, ((Pair<?,?>)o).key) && Objects.equals(value, ((Pair<?,?>)o).value);
    }

    public int hashCode() {
        return 31 * Objects.hashCode(key) + Objects.hashCode(value);
    }

    public String toString() {
        return key + "=" + value;
    }
}

¹ Tested on OpenJDK 17