Summary
EJB is the latest generation of Component Transaction Monitors (CTMs) that provide a platform-independent architecture that supports transaction management, distributed objects scalability, and portability. The cost for developing such subsystems in your own applications is completely unfeasible for most projects; you should focus on your business logic and leave the low-level details to proven experts who have thrown their countless millions of dollars at the technologies.
If you don't have the money to afford a full-blown commercial application server, don't rule out EJB as a technology for your company, there are many Open Source alternatives that can handle the most demanding needs. Features that don't exist in Open Source solutions as of yet are forthcoming; the Open Source community is dedicated and growing!