If you are newbie, try using java's reference implementation. This is very easy to use and test ejb's. I guess, it also has object database which you can use...for more infomation, check out : http://java.sun.com/j2ee/index.jsp
I you are looking for easy installation and configuration, then as mentioned in the previous posts JBOSS or SunOne App Server will be the best to play with. Both have excellent documentation and plenty of resources are available in Internet too.
In case of JBOSS, and you want to learn CMP, it supports almost all Open source and Commercial Database products without much exercise from your part. For e.g. it has AN excellent support for mySQL, Firebird etc. The installation and configuration are pretty straightforward and very easy. Also its light weight, its not memory hungry as well.
SunOne App Server is also an excellent one to install and play around in your desktop. Like JBOSS; its not so memory hungry and light weight too. It has a very intuitive and easy to follow admin console which is slightly better than what JBoss have. Also supported by excellent documentation from Sun, which you can download from Sun�s web site. Moreover Sun provides tools like Deployment verifier, which makes things little easy than Jboss.
Web Logic is an excellent server, and because of more advanced features it carry it is bit memory hungry than others. If you start the server in you desktop, which has about 512M memory, then you won�t feel easy working with other software�s installed in the same machine. If you have say 1G if memory then you can try it out.
As always, if you want to make your hand dirty while learning EJB, try using Open Source servers like JBOSS.