Ted Neward replies to Floyd Marinescu's brief EJB retrospection, and I kind of follow his line of arguments. On the largest web application that I have worked on that included EJBs, we did physically split Web-container and EJB-container, and invoked methods on a lightweight stateful Session Bean's remote interface on each request. All further calls to Session (all of them stateless) and Entity Beans went through local interfaces. Thus, each client session kept its own Session Bean context, and all other EJBs referenced from there on would run in the same address space. So physical distribution happened following this design - and the EJB container would decide which node would actually hold the Session Bean (depending on the current workload).
One common (mis-)perception goes that EJBs are too heavyweight (but then, what does "heavyweight" refer to? The API? Metadata AKA Deployment Descriptors? Runtime overhead?), so specifically the Entity Bean specs have been gone through several stages of modification, particularly in the latest EJB version 3.0. My opinion: those constant changes did more harm than good, more then anything else the discussions around EJB 3.0 created fear, uncertainty and doubt among J2EE developers when it comes to container-managed Entity Beans (CMP EJBs are no rocket science either, and yes, they do scale well - what about your third party O/R mapper?).
I always considered EJB 2.0 a fairly well-balanced approach. The complexity was still manageable, and the developer could always decide whether to go a bean-managed ("do it yourself") or container-managed ("let the container take care of it") way of handling persistence, transaction-management, security and the like.
More than that, EJBs represent a clear guidance of how to architect J2EE applications within the business logic and data access layers (JSP Model 2 completed this on the user interface side). No more self-made infrastructure code, or the need for purchasing arcane third party application server infrastructure platforms or obscure persistence frameworks (it's hard to believe how many software vendors still fall into this trap, just because of their lacking enterprise application know-how, and the "stupidly-follow-the-consultant-piper-who-only-tries-to-sell-his-own-product"-syndrome).
Instead, choose your J2EE vendor (or even free alternatives, like JBoss or OpenEJB), so you can concentrate on building your application logic. There are really cool EJB-oriented IDEs out there (IBM's Websphere Application Developer does a great job here). And there is more than enough literature on EJB patterns and strategies, which should also helpt to limit the risk of doing things fundamentally wrong.