Todd Bleeker at Mindsharp showed me a piece of code he wrote that can use Ajax on Sharepoint 2.0. It was pretty cool. I believe the company used it on their sharepoint site managment software if you want to take a look. (you used to be able to request a 30 day trial). I bet how to do it is on their yahoo group (I can't remember the name, but I am sure that if you search for mindsharp you'll find it.)
As a note, Ajax has been around for a long time. Microsoft easily supported it since 2002 maybe earlier with the release of IE 5.5 (I don't know about other browsers, I was doing internal development and we only supported ie at the time). It just wasn't called that. The term Ajax is nothing more than a marketing term that someone coined later on.