<p>Is it still worth to add the log4j library to a Java 5 project just to log
let's say some exceptions to a file with some nice rollover settings.
Or will the standard util.logging facility do the job as well?</p>

<p>What do you think?</p>

I'd say you're probably fine with util.logging for the needs you describe.
For a good decision tree, have a look at
Log4j vs java.util.logging
Question One :
Do you anticipate a need for any of the clever handlers that Log4j has that JUL does not have, such as the SMTPHandler, NTEventLogHandler, or any of the very convenient FileHandlers?
Question Two :
Do you see yourself wanting to frequently switch the format of your logging output? Will you need an easy, flexible way to do so? In other words, do you need Log4j's PatternLayout?
Question Three :
Do you anticipate a definite need for the ability to change complex logging configurations in your applications, after they are compiled and deployed in a production environment? Does your configuration sound something like, "Severe messages from this class get sent via e-mail to the support guy; severe messages from a subset of classes get logged to a syslog deamon on our server; warning messages from another subset of classes get logged to a file on network drive A; and then all messages from everywhere get logged to a file on network drive B"? And do you see yourself tweaking it every couple of days?
If you can answer yes to any of the above questions, go with Log4j. If you answer a definite no to all of them, JUL will be more than adequate and it's conveniently already included in the SDK.
That said, pretty much every project these days seems to wind up including log4j, if only because some other library uses it.