Which ones are the advantages and disadvantage of using an application server like WebLogic, WebSphere and JBoss

I would say the chief disadvantage of .NET is being tied to the Windows platform on the server side.  IIS is also notoriously insecure.  .NET is a pretty good implementation of the ideas Sun put into Java (managed code, virtual machine, garbage-collected language), but being tied into their platform is a real disadvantage.  With J2EE, you have a variety of vendor implementations and OS's.  Including Windows...

How about performance, concurrency support, security, speed of development and friendly IU for final users?

.NET for example can use componentes for WebApps, some of them are very impressive like Infragistics' with a superb grid, a impressive tree, menus, charts, and editors that validates entry from the browser, all that with few basic configurations in the source code.

Does J2EE have something like that?

> Does J2EE have something like that?

Yes it does although it depends on the vendor's implementation. For example WebLogic has the WebLogic Workshop that does miracles in a press of a button, although if you do not use it wisely you can find yourself locked in with BEA.

So, if I want to develop fast, secure and my users are happy with me with the less effort from my part, I have to tie to somebody?

No, not necessarily. You will tie to somebody only if you want to tie to somebody. In other words, each vendor offers functionallity and tools that are only compatible with their application servers. It is up to you to use them or not.

>>So, if I want to develop fast, secure and my users are happy with me with the less effort from my part, I have to tie to somebody?

Yes, pretty much.  There is some portability/interoperability, but there is some lock-in and porting effort if you change platforms.

Infragistics has their widgets available for java as well.

>> How about performance, concurrency support, security, speed of development and friendly IU for final users?

UI is kind of up to you.  You might look at Oracle's Application Server/Portal, which has some really good  (PL/SQL language/wizard-generated), J2EE-compliant, etc.  It has full identity-management (Single Sign-On) and scales really well.  The PLSQL stuff is not my favorite architechture, but for pulling data out of the database and presenting it, the dev cycle is really fast.  For more robust J2EE apps, the support is there.  Their JDeveloper product has a framework, ADF, that also speeds up J2EE dev by automating deployement and generation of a lot of components.  

Most of the other toolsets (Weblogic, Websphere) have developer tools to speed up development.