I was having a similar issue but on a clean install of Ubuntu 14.04, a fresh download of Android Studio 0.5.7, Oracle Java 8, Gradle 1.12 and the Android ADT Bundle 20140321. Every time I tried to bring up the Project Defaults to set the Android SDK location an exception appeared on the console with the same message you posted.
Before starting I set the various tool HOME environment variables to where those tools were installed, (which could be optional if you're installing all of these through the Ubuntu package manager..)
export GRADLE_HOME=/opt/DEV/gradle
export JAVA_HOME=/opt/DEV/jdk
export ANDROID_HOME=/opt/DEV/adt-bundle-linux-x86_64-20140321/sdk
export PATH=$PATH:$GRADLE_HOME/bin:$JAVA_HOME/bin:$ANDROID_HOME/tools
Then,
From the quick start dialog (presented when you first open Android Studio if you don't have a project already created) disable the Android Plugins found under Configure -> Plugins. Also disable any plugins Android Studio recommends when you disable the Android ones.
Restart Android Studio when prompted.
Add the Java JDK via Configure -> Project Defaults -> Project Structure -> Platform Settings: SDKs
Apply changes, head back into Configure -> Plugins and re-enable the Android Plugins.
Restart Android Studio when prompted.
Set the Android SDK Location and JDK Location under Configure -> Project Defaults -> Project Structure. When I did it, it was pre-filled so I just hit Apply.
Restart Android Studio
The SDK Manager is now a visible button under Configure and you can now create a new Android Project.
Upon creating a new Android Project, Android Studio then went off and download the various dependencies and Gradle 1.10. Annoying that it downloaded Gradle again, but at least Android Studio started to work after that.