While we write a EJB client we need to generate EJB stub classes based on the EJB Remote interface. These stub classes are resposible to serialize/deserialize the object parameters and return values.
When we use a JAX WS client, do we still need to generate stub classes to marshall and unmarshall Java <--> XML?
Or will it be done by the Websphere JAX WS implementation classes somehow automatically under the hood?
If you mean that you need something extra to convert the XML message (SOAP message) to Java object and viceversa, you don't.
JAX-WS converts the incoming SOAP message (actually a XML request) to Java object. And transforms the Java objects to XML response for send to the web service client.
(source: anyframejava.org)
The conversion in both directions is performed by JAXB.
See more in Developing Web Services Applications.