The ShapeUtilities class has some methods to create shapes that aren't provided by default in Java2D. For circles though, you can just use:
Ellipse2D circle = new Ellipse2D.Double(-3.0, -3.0, 6.0, 6.0);
The circle here is centered on (0, 0) - JFreeChart relies on that because it will translate the position of the shape to (x, y) when drawing the chart.