First some terminology: unit tests are those which run without a server (or database), integration tests do use a server and database. JUnit is a framework that can be used for unit or integration testing. Cactus extends JUnit to provide more features for integration testing.
First you need to decide if you want to do unit testing or integration testing or both. I recommend writing JUnit unit tests for the lower level classes first (actions, EJBs, etc.) Then you can use Cactus to write an integration test to test the end to end/in container part.