I'm joining the chorus of recommendations for Headfirst EJB. I've already finished HeadFirst Java, and I find the presentation style (lots of pictures, puzzles, & questions) excellent for the "between meeting and over lunch hour" study schedule I have to adopt. It's interesting enough that I'm picking it up to see what they'll say/do next. Not finished, yet but I've done 4 chapters in 2 days.
Download the EJB 2.0 specification - not 2.1 - and print it and organise it properly in a file with markers etc. This is fundemental as it is this that is the core material. HeadFirst Book is then great.
Also, I like both Ed Roman's book and Richard Monson-Haefel's books. They will not completely prepare you for the details of the exam, but they are both excellent books on EJB.
And don't hesitate to consider this forum as another excellent (and perhaps the BEST) source of preparation! There are so many smart people right in the midst of preparing who are either facing the same questions as you, or have already been down that road and are willing to help.