Howdy -- if you are preparing for the exam, you can do it with the J2EE reference implementation. It's VERY easy to set up, and runs on everything (I have it running on my Mac.)
It's not a production server, obviously, but for learning and developing and testing components, it works well. It has deployment tools to help you build the deployment descriptor and create the ejb-jar. If you're looking for something simple, that's my recommendation. Plus, using the RI will help guarantee that you aren't working with vendor specific features that go way outside the specification.
cheers,
Kathy