I would go as far as saying: I hope not. Last time I looked at the EJB spec there's nothing that allows you to specify that 2 EJBs are living in the same EJB container: that's why transparent horizontal scaling can be done. Therefor an EJB call is considered to be a distributed call requiring some kind of marshalling mechanism: java serialization in this case.

Note: If you're trying to avoid this because of performance reasons, you may want to redesign what your doing: introducing a stateless session EJB, and passing the EJB handle around, using JDO ...