A chapter from my book, Understanding AJAX has been made available as a digital shortcut. This chapter covers the different ways you can use the data you transfer using XMLHttpRequest.
Document centric approaches based on HTML and XML are described as well as various RPC approaches are shown.
I don’t do much work with AJAX and XML, but client side XSLT can be a good solution if you need to move lots of data since it tends to scale better to extremly large datasets (especially in IE).
If your interested in the details of these various approaches grab the digital shortcut or pickup Understanding AJAX.