This is used to create high interactive web applications. It make web pages feel more responsive by exchanging small amounts of data with the server behind the scenes, so that the entire web page does not have to be reloaded each time the user requests a change. So a user will feel the speed, functionality and usability of a page is increased.
Many web applications today use AJAX (Popular examples are Google suggest, GMail, Google Docs, Yahoo Mail Beta, Windows Live Mail, etc).
To know more about this technology:
AJAX rules, I am using it in a new web app I am building. Although when I frist read about it and tryed it I though this is going to be hard, but its not really, very effective once you have the right script to handle all your AJAX needs.
There is a very good AJAX tutorial here on Frihost: http://www.frihost.com/forums/vt-39219.html I learned it there.
Here is a list of a 80+ AJAX solutions.
It is a good example to see what ajax is capable of and how to do it. (most of the articles anyway)