I changed
    //create 5x5 pixel picking region near cursor location
             GLU.gluPickMatrix( (float) mouse_x, (float) mouse_y, 5.0f, 5.0f, viewport);

to
            //create 5x5 pixel picking region near cursor location
            GLU.gluPickMatrix( (float) mouse_x, (float) mouse_y, 5.0f, 5.0f,IntBuffer.wrap(viewport));
To get the last example to work. It was either incorrect code before or a change in GLU.gluPickMatrix since the lastest lwjgl version?

Is this the correct way of solving this?

Thanks, Del

Edit -
Also, would this be a good way to detect what I've hit, in say a first person shooter if mouse x and y where just switch with the crosshair's x and y(center of screen in most cases)?

Thank you all very much for your comments and source! They have been very helpful for me, and picking works like a charm now.

@Del: I had the same problem and the solution you gave suits me fine.