However, I found so far the best explanation to help understand the concept is from theserverside web site. The provide some complete books on the subject in PDF format for free download. One of them is Mastering EJB.
If you are interested in the subject, this is an excellent place to start. However, the book may be a little outdated but I believe most of the concepts on the stateful and stateless beans are still explained nicely in the book. There is also a more uptodate version of it (again free download of the complete pdf) - Mastering Enterprise JavaBean 3.
One of the problems I have with J2EE, is they keep adding other framework like Struts, JavaFaces, Hibernate etc. The above book does not cover those.