I've recently jumped on the AJAX band wagon and had a stab at using the XMLHttpRequest() object in my applications. I followed a number of tutorials including:
I'm still to be wholly convinced about using AJAX to deliver pages, due to accessibility issues, but I do think that using the XMLHttpRequest() to get live data as a user interacts with the page is well worth getting stuck into. It's the way ahead.
There are alternatives to AJAX: Flash Remoting, the art of using Flash for the UI and web services (mainly written in ColdFusion) and Macromedia - sorry - Adobe Flex 2 offer a much more dynamic UI, but at a price! Flex 2 will set you back the best part of a grand when it's released sometime this summer.