You also need jboss-remoting.jar in the classpath (make sure it is before the jbossall-client.jar).
Make sure the JBM you are using should be same on both server and client (EJB) sides.
I had tried adding jboss-remoting jar but problem did not yet solve.
It seems there is an issue due to AOP stack is different on Jboss4.0.4 and JBoss 4.3 EAP where JMS are configured.
You're required to obtain libraries from the corresponding JBossMessaging/JBossAS server instance. Perhaps, you may have to isolate JBM related libraries