The trick here are uri's with an anchor fragment.
The part before '#' points to a resource on the internet, and after normally designates to a anchor on the page.
The browser does not refresh if the resource is the same but moves to the anchors position when present.
This way you can keep the convenience of browser history from a usability point of view while replacing certain parts on the page with ajax for a fast and responsive user interface.
Using a plugin like jQuery history (as suggested by others) is really easy: you decorate certain elements with a rel attribute by which the plugin takes care of the rest.
Also kinda related to this topic is something called 'hijax', and it's something I really like.
This means generating html just like you would in the old days before ajax. Then you hijack certain behavior like links and request the content with ajax, only replacing the necessary parts. This in combination with the above technique allows really SEO friendly and accessible webpages.