This week's book giveaway is in the OCPJP forum. We're giving away four copies of OCA/OCP Java SE 7 Programmer I & II Study Guide and have Kathy Sierra & Bert Bates on-line! See this thread for details.
Howdy -- we use the J2EE 1.3 R.I., *not* the 1.4 application server from Sun, because the exam is based on the EJB 2.0, not 2.1 spec (since most app servers today are 1.3-compliant, NOT yet 1.4-compliant.
(Just make sure you do not get the Sun One server; you want just the Reference Implementation (RI).
People have successfully deployed using other servers, but they usually need to do some additional configuration. We don't recommend it, though -- if you're preparing for the exam, the RI is usually the simplest way to test out how things behave according to the specification.