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.