Well, that depends on how much money you have

Websphere and Weblogic both cost a lot of money. I've heard that you can now get weblogic for free under a developers license. I haven't looked into that yet.
You could try Oracle's that has good documentation. Personally I like JBoss, but again, it lacks full documentation right now. You can purchase the documentation for a small fee and the server is free as well.
Orion is free, but poor docs from what I heard. I like JBoss, it's pretty easy to setup.
If you do get Weblogic, or webshpere, they should have a program to help you deploy your entity beans.
HTH,
/rick