One solution could be using socket technology, It is platform independent, But as you use java on both sides, Then better to use RMI that is an extension for the socket programming.
If your applet  could be run on non secure environment you need to consider security as well.

One thing more on this topic, It is better that your applet  does not work directly with ejb  tier, It is not some thing related to technology  but design patterns.
So if you can work with non ejb objects on your back-end you can use HTTP(HTTPs) also for comunications.

regardless of your application server:
1) RMI
2) WebServices

nothing stops you from perfoming a regular lookup the way you access a remote ejb, but its not a good practice. all these are based on RMI anyway (it is the back end protocol for ejbs)

you can alternatively use a web tier component in between, although this depends on your own strategies and complexity of your work