I just had to uncomment the line in jboss-eap-5.0\jboss-as\server\default\conf\props\jmx-console-users.properties
admin=admin
Thats it. Restart Jboss and I was about to get in to JBOSS JMX. Magically this even fixed the error that I used to get while shutting down Jboss from Eclipse.