Actually OpenEJB works great as an embeddable.

Just dowloand openejb.war, deploy it into tomcat/webapp that is it! You can use all EJB container functionality in your web applications!

Actually the point is that EJB  is just a technology related with Java EE distribution model/architecture. Its usage heavily depends on where you would like to use it. If you want to create a (simple) web application that depends on single database resource, maybe it is not necessary to include EJBs into your application. But if you would like to use 2PC (for example, integrating JMS with Databases etc.), to distribute your business code into more than one machine , to integrate with legacy CORBA systems or other messaging systems etc. you could likely to use EJBs in Java EE environment.