Nevermind! I got this working today.
I started with a fresh installation of JBoss 4.0.1.
I used Sun's tutorial 1.4 Update 4.
I overlaid the JBoss tutorial files.
I then stepped through Chapter 4 build and deploy instructions and it worked today.
I swear I did this yesterday and it did not work.
Maybe I had something else misconfigured.
I got the same problem but a refresh installation didn't change anything.
I carefully download sun (update 4) and jboss (release 3) tutorial versions and tried with jboss 4.0.1 and j2sdk1.4.2_07 (I previously tried with j2sdk 1.5).
If anyone has a clue, it would be helpful.
It seems many jboss newbies (like me) experience problem compiling or deploying Duke's Bank. As I read somewhere I would be great if jboss could provide its own version of the tutorial.