Do you want to use EJB 2.1 or EJB 3? As a first timer, I would recommend EJB 3, its is simpler and saner. In that case, look at the EJB3TrailBlazer at http://trailblazer.demo.jboss.com/EJB3Trail/. It will have you running EJBs in no time.
If you want to use the old EJB 2.1, you might want to look into XDoclet because it makes EJB 2.1 easier and writes the jboss.xml file for you. The book JBoss at Work by Marrs and Davis has some good example of building EJBs using XDoclet.