Using AJAX can be a bit cumbersome, because the various browsers have different implementations to support AJAX. Normally this would force you to write code to respond differently, depending on the browser, but fortunately, jQuery has done this for us, which allows us to write AJAX functionality with as little as a single line of code.
You should be aware of the fact that thre are both advantages and disadvantages to using AJAX on your page though, which means that you should always consider carefully before deciding to use it instead of doing a regular postback to the server. Here's a summary:
The first two items on the list may be circumvented though, typically through the use of an iframe and reading and writing data from the part of the URL after the # character.