I've got it to work, and I have looked online and through the documentation, it's not very useful for some reason!
Given this code that works as expected:
<input type="text" id="color_input" />
<script type="text/javascript">
jQuery('#color_input').autocomplete('autoComplete.aspx');
</script>
What I can't figure out is how what the user has typed is sent to the autoComplete.aspx page? For example if I type in 'Thoma' how is 'Thoma' sent to the processing page?
Does it send it via querystring? Or post it?