The two books on EJBs that I'd recommend are:
Mastering EJBs by Ed Roman (pdf can be downloaded free from theserverside.com)
and Enterprise
Java Beans by Richard Monson-Haefel.
Neither are directly linked to a free J2EE server implementation unfortunately.
Enterprise Java Beans has free workbooks that you can download. They are very good unfortunately currently there are only workbooks for Weblogic and Websphere hopefully others will appear soon.
With JBoss you can get documentation (both free and for a $10 charge) which provides instructions to follow on creating EJBs amongst other things. Probably a good place to start.
Hope that gives you some ideas
Phil