Actually, I think you want to read the book first time around. then reread it again and do the questions. I agree, some of the questions require knowledge beyond that chapter, but if you look at it from a positive side, it forces you to 'apply' the knowledge from different facets of EJB.
In conjuction with Head First, I also read the EJB spec. I think this is one of the best reading material that you can get knowledge from, in addition to sharing information with people from this group.