Since AJAX (Asynchronous Javascript And XML) is just a combination of already excisting standards ((X)HTML, JavaScript, XML) it depends on your personal skills. If you're a experienced webdesigner, it doesn't take much effort to pick it up.
I only apply it in certain web apps, for some it totally works and it's definitely the way to go, for others there are better solutions. Keep in mind that AJAX gives you trouble with some older browser versions.