AJAX stands for Asynchronous JavaScript and XML. It's a term used for two technologies that have been around for quite a bit. JavaScript is a client side application that runs on the users web browser and XML is a great way to hold data for a variety of devices to use how they see fit. In this case the two work together to accomplish some really cool things. The coolest thing is accessing data without reloading the page. Google's Gmail is the best example of this. No longer is a new page opened up each time you need more information, think of the possibilites.

More information on how AJAX can be used in this quick tutorial