Given an example of calling two web services methods from a session bean, what if an exception is thrown between the calls to two methods? In the case of not calling the web
Actually, you usually don't just need a custom rollback method but also a custom commit method. Otherwise, you get into problems like those found in the WS-BA standard.
Just check out http://www.atomikos.com/Publications/TryCancelConfirm for a detailed article. The features mentioned there are available in Atomikos ExtremeTransactions... That product also supports classical 'ACID' style web service transactions.
HTH
Guy
Disclaimer: I work for Atomikos