You could place a properties file in the same directory as the EJB class file and access it using this.class().getResourceAsStream(prop-file-name).
You could place a properties file in server/default/data and access it as follows:
String datadir = System.getProperties("jboss.server.data.dir");
File f = new File(datadir + "/" + prop-file-name);
Thanks - searched for ages for that kind of a gem!
Also, you have the ENC (JNDI) to play with as well. Environment entries can be set in your ejb-jar.xml descriptor (or injected with EJB3). I often find this 'cleaner' than using a properties file as the EJB contains all the necessary information needed to deploy and run. However, neither approach is better than the other.