Das ist mir schon klar, dass das bei dir nicht funktioniert. Du erzeugst zwar alles nötige, fügst es aber nie ein. Ich habe dir das mal erweitert.
Code:
public class MyFrame extends JFrame{
	JPanel pnPanel0;
	JLabel lbLabel0;
	JLabel lbLabel1;
	JLabel lbLabel2;
	JList lsList0;
	JList lsList1;
	JList lsList2;
	JLabel lbLabel3;
	JLabel lbLabel4;
	JLabel lbLabel5;
	JTextField tfText0;
	JTextField tfText1;
	JTextField tfText2;
	JList lsList3;
	JButton btBut0;
	JButton btBut1;
	JButton btBut2;
	JButton btBut3;

	MyFrame(){
		super("MY PROGRAM");
		getContentPane().setLayout(new BorderLayout());

		pnPanel0 = new JPanel();
		GridBagLayout gbPanel0 = new GridBagLayout();
		GridBagConstraints gbcPanel0 = new GridBagConstraints();
		pnPanel0.setLayout( gbPanel0 );

		lbLabel0 = new JLabel( "Label 1"  );
		gbcPanel0.gridx = 0;
		gbcPanel0.gridy = 0;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 1;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( lbLabel0, gbcPanel0 );
		pnPanel0.add( lbLabel0 );
		
		lbLabel1 = new JLabel( "Label 2"  );
		gbcPanel0.gridx = 2;
		gbcPanel0.gridy = 0;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 1;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( lbLabel1, gbcPanel0 );
		pnPanel0.add( lbLabel1 );
		
		lbLabel2 = new JLabel( "Label 3"  );
		gbcPanel0.gridx = 4;
		gbcPanel0.gridy = 0;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 1;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( lbLabel2, gbcPanel0 );
		pnPanel0.add( lbLabel2 );
		
		String []dataList0 = { "Chocolate", "Ice Cream", "Apple Pie" };
		lsList0 = new JList( dataList0 );
		gbcPanel0.gridx = 0;
		gbcPanel0.gridy = 1;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 1;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( lsList0, gbcPanel0 );
		pnPanel0.add( lsList0 );
	
		String []dataList1 = { "Chocolate", "Ice Cream", "Apple Pie" };
		lsList1 = new JList( dataList1 );
		gbcPanel0.gridx = 2;
		gbcPanel0.gridy = 1;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 1;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( lsList1, gbcPanel0 );
		pnPanel0.add( lsList1 );
	
		String []dataList2 = { "Chocolate", "Ice Cream", "Apple Pie" };
		lsList2 = new JList( dataList2 );
		gbcPanel0.gridx = 4;
		gbcPanel0.gridy = 1;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 1;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( lsList2, gbcPanel0 );
		pnPanel0.add( lsList2 );
	
		lbLabel3 = new JLabel( "Label 4"  );
		gbcPanel0.gridx = 0;
		gbcPanel0.gridy = 2;
		gbcPanel0.gridwidth = 1;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 1;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( lbLabel3, gbcPanel0 );
		pnPanel0.add( lbLabel3 );
	
		lbLabel4 = new JLabel( "Label 5"  );
		gbcPanel0.gridx = 2;
		gbcPanel0.gridy = 2;
		gbcPanel0.gridwidth = 1;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 1;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( lbLabel4, gbcPanel0 );
		pnPanel0.add( lbLabel4 );
		
		lbLabel5 = new JLabel( "Label 6"  );
		gbcPanel0.gridx = 4;
		gbcPanel0.gridy = 2;
		gbcPanel0.gridwidth = 1;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 1;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( lbLabel5, gbcPanel0 );
		pnPanel0.add( lbLabel5 );
		
		tfText0 = new JTextField( );
		gbcPanel0.gridx = 1;
		gbcPanel0.gridy = 2;
		gbcPanel0.gridwidth = 1;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 0;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( tfText0, gbcPanel0 );
		pnPanel0.add( tfText0 );
	
		tfText1 = new JTextField( );
		gbcPanel0.gridx = 3;
		gbcPanel0.gridy = 2;
		gbcPanel0.gridwidth = 1;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 0;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( tfText1, gbcPanel0 );
		pnPanel0.add( tfText1 );
		
		tfText2 = new JTextField( );
		gbcPanel0.gridx = 5;
		gbcPanel0.gridy = 2;
		gbcPanel0.gridwidth = 1;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 0;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( tfText2, gbcPanel0 );
		pnPanel0.add( tfText2 );
		
		String []dataList3 = { "Chocolate", "Ice Cream", "Apple Pie" };
		lsList3 = new JList( dataList3 );
		gbcPanel0.gridx = 0;
		gbcPanel0.gridy = 3;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 2;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 1;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( lsList3, gbcPanel0 );
		pnPanel0.add( lsList3 );
		
		btBut0 = new JButton( "Button 1"  );
		gbcPanel0.gridx = 2;
		gbcPanel0.gridy = 3;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 0;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( btBut0, gbcPanel0 );
		pnPanel0.add( btBut0 );
	
		btBut1 = new JButton( "Button 3"  );
		gbcPanel0.gridx = 2;
		gbcPanel0.gridy = 4;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 0;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( btBut1, gbcPanel0 );
		pnPanel0.add( btBut1 );
	
		btBut2 = new JButton( "Button 2"  );
		gbcPanel0.gridx = 4;
		gbcPanel0.gridy = 3;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 0;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( btBut2, gbcPanel0 );
		pnPanel0.add( btBut2 );
	
		btBut3 = new JButton( "Button 4"  );
		gbcPanel0.gridx = 4;
		gbcPanel0.gridy = 4;
		gbcPanel0.gridwidth = 2;
		gbcPanel0.gridheight = 1;
		gbcPanel0.fill = GridBagConstraints.BOTH;
		gbcPanel0.weightx = 1;
		gbcPanel0.weighty = 0;
		gbcPanel0.anchor = GridBagConstraints.NORTH;
		gbPanel0.setConstraints( btBut3, gbcPanel0 );
		pnPanel0.add( btBut3 );
	
		getContentPane().add(BorderLayout.CENTER,pnPanel0);
  	             setVisible(true);
	}