I think that question depends on how you will be running your EJBs. To cite two popular IDEs, Visual Age for Java will integrate best with WebSphere (naturally, IBM and IBM) and WebGain Visual Cafe will integrate best with WebLogic products (WebGain and BEA are technology partners). So if you know where your EJBs will be running, you may have a stronger case for which of the IDEs would be best for you.
If you don't care about the IDE integrating with the
EJB server, any of them would likely do the job.