This week's book giveaway is in the OCAJP forum. We're giving away four copies of OCA Java SE 8 Programmer I Study Guide 1Z0-808 and have Jeanne Boyarsky & Scott Selikoff on-line! See this thread for details.
When you run a normal program and hit a method, all this happens within the same program (same JVM, same machine).
With EJB you have the ability to write a program and make it available over the network. The advantage is that you can build 'distributed' applications which can be re-used.
On top of this, EJBs come with lot other stuff like Scalability, Security, Distributed transactions etc.