AJAX has many potential uses. Here are a few of them:
Updating page information
Real-time data validation
Obtaining data for a control
Responding to server events
Pushing data to the client
Real-time interaction
Real-time monitoring
Auto completion
AJAX requires both client side and server side code. This means that you have more technology to master. It also means that you will have to rely on client side technology which you do not control. At a minimum it means knowing DHTML, JavaScript and at least one server side technology.
The AJAX sequence diagram that shows how the XMLHttpRequest is used.