An AJAX application can send requests to a Web server to retrieve only the data that is needed. The result is a more responsive application, since the amount of data interchanged between the browser and the server is vastly reduced. However, not only the amount of data is reduced. What also lessens is the amount of feedback between the application and its user.
Since there is no clearly visible page transition, the result of a user action can be hard to notice. Luke Wroblewski talks about how to communicate changes in the application to the user.