Pre 3.0.1, the jmx-console exists as an MBean that runs a basic http server on port 8082. This is the Sun RI HTML-JMX adapter. As of 3.0.1, this was rebuilt as a standard web application, and mounted to /jmx-console in your web server (Jetty or Tomcat). So, as of 3.0.1, there is no port 8082.
When struggling with the same issue, I noticed that JBoss had something running on port 8083. For example if you go to http://localhost:8083/index.jsp you will get the source code of a jsp page. (JBoss 3.0.3 binary distribution.)
What is that service for?