If you use assertThat() with a Hamcrest matcher that tests for regex matches, then if the assertion fails you'll get a nice message that indicates expected pattern and actual text. The assertion will read more fluently also, e.g.
assertThat("FooBarBaz", matchesPattern("^Foo"));
with Hamcrest 2 you can find a matchesPattern method at MatchesPattern.matchesPattern.
Because I was also looking for this functionality, I have started a project on GitHub called regex-tester. It's a library that helps ease testing regular expressions in Java (only works with JUnit currently).
The library is very limited right now, but it does have a Hamcrest matcher that works like this
A matcher similar to Ralph's implementation has been added to the official Java Hamcrest matchers library. Unfortunately, it's not yet available in a release package. The class is on GitHub though if you want a look.