Wow, want to start a "Holy War"?
No actually ask 10 developers and you'll get 10 different answers.
The big thing is it depends. IMHO NetBeans with Sun
Java Application Server and Derby is about the easiest.
Now, if your are interested in
EJB 2.0, get the netbeans 5.0 if you are interested in the upcoming EJB 3.0 get 5.5 ensure you get the version that comes with Sun Java Application Server imbeded, it makes things a lot easier. Derby is included automatically.
http://www.netbeans.org Also, there are several good tutorials there to help you through the learning process.