Of course. They are just POJO's so you unit test them like any other POJO. Use Mockito (or some other mocking framework) for the dependent classes and write your unit tests to verify that bean is working correctly.
The EJB 3 In Action Second Edition book has an entire chapter on testing. It covers unit tests and more advanced integration tests where the beans are run in an embedded container against real external resources.
Java EE Evangelist — Author, EJB 3 in Action 2nd Edition — Java Community Process Member