Local interfaces should work (at least it used to...). Maybe you should try to describe the error in order to get any feedback.
I have a vague memory that it doesnt really matter though. I think the JBoss EJB proxy treats the remote the same way as local when running in the same JVM. You wouldnt get a performance boost using local instead of remote in that case.
How do you lookup the initial context in your servlet?
Have you edited any jndi.properties files (You shouldn't have but this is sometimes a common mistake)
What is your JBoss version and what is the error and stack trace that you are getting?