As you correctly state the J2EE distribution comes with a reference implementation.
However Sun do not recommend that you use this in a production environment. Two main problems with it.
They do not provide the level of support for it that other J2EE implimentations provide. Also it is not optimised so I would expect it to have poor performance.
If you are worried about cost use
JBoss or one of the other open source servers. Also the commercial app servers are started to be given away free, for example HP so its not really a problem.