Yes, non-servlet clients are possible. All that a client has to do to access the EJB is look up the Home Interface through JNDI and then get a Remote reference from there. This works fine in JAVA-based applications, although there may be some security issues with using EJBs and applets (I haven't tried that out yet...). If anybody knows if there are these security issues, I would be interested to hear what they are and how/if you can get around them.
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One of the biggest issues might be firewalls. Generally you would have your Webserver listening on port 80 and your app server on some unprivileged port. The firewall administrator in that case must specifically open a port which will probably be something he won�t like ;-) The solution for this would be something like webservices (comes with wls6.1 but can be done on any app server with some coding). In this scenario, the applet would call a servlet with some XML (SOAP) as parameter and the servlet would respond with some other XML.
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