A few good blog entries that talk about SharePoint web parts and AJAX:

• http://sharethispoint.com/archive/2007/02/28/Using-a-SPGridView-inside-an-ASP.net-Ajax-UpdatePanel.aspx
• http://www.capdes.com/2007/02/ajaxbasepart_easy_aspnet_20_aj.html
• http://weblogs.asp.net/scottgu/archive/2007/02/20/asp-net-ajax-and-sharepoint.aspx