here is the learning  path most people follow:
1) prepare a resume and claim you know all technologies  you have heard their names!
2) submit your resume to some companies
3) get hired by one of them

the rest will be done by the company! ;-)

but if you want a more serious path  in j2ee, the sun  j ee tutorial  has also showed different pathes,
one is for web  development, covering ejb, one covers web services, one jsf, etc
follow the one you like

have a look at http://www.sun.com/training/catalog/paths.html

you can also always start with simple examples in tutorials as well,

right after sending my previous email, I remembered that http://www.javapassion.com/ is also a good one,

you can participate in its discussions as well, its learning  curve is much higher than regular self practices and you get to participate in real practices and you get homeworks too

I always recommend the following site:

http://javapassion.com/