For all, who had the same problem, who could not find anything about EJB Interceptors through whole the web and in no EJB Book, here is the answer:
Have a look into the JBoss3.0Book. It is explained there.
Unfortunately the Quickstart Guide does not talk about in detail. It is only mentioned in the context of Container Managed Transactions.
So it is only a JBoss AppServer specific topic. But perhaps it will get an EJB standard one day.
An EJB interceptor is analogous to filters for servlets: not every ejb method call occurs, only those calls occur, that you want to occur.