Entity Bean is a Java class which implements an Enterprise
Bean interface and provides the implementation of the
business methods. There are two types: Container Managed
Persistence (CMP) and Bean-Managed Persistence (BMP).
Session Bean is used to represent a workflow on behalf of a
client. There are two types: Stateless and Stateful.
Stateless bean is the simplest bean. It doesn't maintain any
conversational state with clients between method
invocations. Stateful bean maintains state between invocations.

entity beans are generally used for database interaction 
thus provide various EJB services like 
transctions,persitence etc which using the seesion bean 
will be manully handeled by the programmer while 
interacting with Db,session beans are basically for 
processing the logic not for DB entities

An entity bean represents an entity such as an employer, 
student, etc. A session bean is a type of EJB (Enterprise 
JavaBean) that encapsulates the logic of a business process 
and business rules. Entity beans offer the following 
advantages over session beans:

Persistence: Entity beans are persistent, i.e., the state 
of the bean exists beyond the lifetime of the application 
or the application process. There are two types of 
persistence: Bean-managed and Container-managed. In Bean-
managed persistence, the code contains the calls that 
access the database. In Container-managed persistence, the 
EJB container generates the database calls.
Shared Access: Multiple clients can share the entity beans. 
It works within the transactions as the client changes the 
data.
Primary Key: Each entity bean has a unique object 
identifier that enables the client to locate a particular 
entity bean.
Relationship: An entity bean can relate to other entity 
beans. Both CMP and BMP can be used to maintain 
relationships.