Ajax front-ends can feel smoother and faster.
Smoother because they can refresh part of a page instead of the whole thing, avoiding the flicker of a full page repaint and approaching the interactive richness of a Swing or Win32 GUI. Google maps takes this to an extreme, updating bits of the map that you can't see yet in anticipation that you might go that direction. It gives the illusion of an infinite image. Very cool.
Faster because they can transfer small bits of data instead of large amounts of HTML over the network, and update a page in several small, fast parts instead of the large whole.
Asynchronous requests can help, too, by keeping the front-end more responsive during data requests and running several at the same time.
Here is a good introductory article about AJAX that may have more things you can use.
[ December 27, 2006: Message edited by: Stan James ]