I'm currently using EJB 3 Developer Guide by Michael Sikora. This is very good for beginners and it will also help you on how to compile, package, deploy, and run its examples which i found lacking on most EJB 3 related books like EJB 3 In Action.
While I do agree that Micheal's/Mike's/Bill's/Rima's book is outstanding, just felt I should point out that we do have example code for JBoss 4.2, GlassFish v1 and WebLogic 9. I am currently working on porting the code to JBoss 5 and GlassFish v2. The appendix of EJB 3 in Action does provide installation and deployment instructions for GlassFish v1. The rest of the code examples have instructions specific to the application server embedded with the code examples download. We did devote an entire chapter to packaging and deployment from a Java EE 5 spec perspective.
The reason we do not include such instructions as part of the main chapters is that we felt that such instructions would quickly become obsolete/bind us to a particular application server and have opted for external, runnable code samples and instructions instead.
Again, none of this is saying our book is better than any other one in particular, just pointing out a possible misconception. Also, we are open to suggestions to changing things for the next edition if there is a good way of improving things (that applies to anyone).
Independent Consultant — Author, EJB 3 in Action — Expert Group Member, Java EE 6 and EJB 3.1