I have recently been challenged by a colleague with a .Net background about the way I sometimes use session beans in web applications. Indeed, I like to implement DAOs as session beans.
Some people argue that it’s best not to directly implement CRUD methods in session beans.
The main reason being that they prefer to add another level of separation. For instance :

Session bean client
!
Session bean
!
business object helper class
!
DAO
!
ORM (Hibernate)
!
Database

A good example of this approach is the old implementation (EJB 2.0) of the The Java Pet Store by Sun. (API : http://java.sun.com/blueprints/code/jps131/src/).
My opinion is that this level of separation is not always necessary. And I believe using session beans as DAOs makes even more sense now that in EJB 3.x we have the Java Persistence API (entitymanager)  which already provides generic
database access methods (persist(), merge(), etc) :

Session bean client
!
Session bean DAO (JPA)
!
Entity bean (JPA)
!
Database

Adam Bien explains it well in this post.