EJB gives you an easy way to build tree tir applications with security, transactions, fault tolerance, etc.
In a client server application you have two tiers and frecuently the second tir (database) has stored procedures and triggers to resolve the application logic and buisines rules. With EJB you can write the logic in a midleware not in the database.
I expermimented a web app in two tires and tree tires. I discover that the application have a better performance in tree tired architecture, maybe because there are less database connections.
I hope this help you.
Sami.