I've successfully used jquery, YUI and Dojo on different django projects. There's nothing about any of those that made it better to use with django specifically. I agree with jpartogy that mochikit may fit django more than any other just because of the "pythonic" (twisted-like) API. It really depends on what you are looking for in an ajax framework.
Personally I like what jQuery can do with given amounts of code but the greatest challenge in writing jQuery code is making it readable.
YUI is much more verbose than other frameworks because it sets a convention for using namespaces, but there are shortcuts to write less code and it avoids trying to make javascript look like something else.
Dojo tries to make javascript look like Java and from my experience is pretty slow. It has some nice widgets and a javascript implementation of the django templating language (which is pretty useful even outside of django projects).
I personally avoid prototype and mootools because they can break other javascript code (or vice versa).
If you are new to javascript and ajax I'd recommend jQuery because it's the easiest to start with. But I don't expect any js framework to be integrated with django mostly because there's really no need for that.