Say that you have a couple of select lists on your page, and in a drill-down style the user’s selection in the first list determines the options available in the second. […] By utilising XML HTTP to fetch the options for the second list behind the scenes, you not only make the experience a little more slick for the user (no page reloads), but you also reduce the load on the server as it doesn’t have to rebuild that page. […] Another neat trick you can perform using this technology is using the server to perform any tricky processes that have until now been left to the client."
02/10/05 update: by the same author: Very Dynamic Web Interfaces.
03/24/05 update: Dynamic Web Apps and the Uncanny XMLHttpRequest Object!, XMLHttpRequest Usability Guidelines.