It's mostly a question of application design, i.e. if you want to use coarse-grained components instead of a fine-grained (interconnected) network of objects that implements both the state of entities and the related business logic (known as "domain model" using POJOs/JavaBeans).
Please note that "entity beans" is in fact just a name for another object/relational mapping technique, modern CMP engines are quite similar in features to (other) modern ORM tools. The difference is the view of the entities and their relationships in your application and the design approach you'd like to use for that part of your system.
Search for "domain model" and read up on some well known patterns for implementing this and decide if thats the way you want to implement your business logic in Java. If yes, some ORM software is a good choice for data management.
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