I usually work creating my entity data model classes using JPA and creating session beans (or stateless/web services beans) in an EJB module to acces this data. Later, I create a web/desktop application to access entities through the previous module.
But sometimes you need/want to do a more quickly/ugly job working with entities directly from your web application. For those (like me today ;)) I put here this link to a JEE5 blueprint named: Design Choices in a Web-only Application Using Java Persistence.
Among other things, It talks about using container or application managed entity managers.