[excerpt from a TSS thread]
This is not specifically AJAX related, but since AJAX is most useful in conjuction with DHTML, I thought it worth mentioning. IE leaks memory when you have circular references between JavaScript objects and DOM objects (which are actually COM objects). This happens a lot with sophisticated DHTML applications that are modifying the DOM tree; event handlers are the main culprit.
For some discussion see:
http://www.quirksmode.org/blog/archives/2005/02/javascript_memo.html
http://jgwebber.blogspot.com/2005/01/dhtml-leaks-like-sieve.html
http://blogs.gotdotnet.com/ericli/PermaLink.aspx/f249659d-a3f1-4f6b-9ca3-3bbcc2df240e
An example solution to the problem:
http://novemberborn.net/javascript/event-cache
I have heard that there may also be similar problems with the event handlers of the XMLHttpRequest object itself.
Basically, I would not tackle a serious AJAX application without first having a reasonably sophisticated client-side framework for event management. You will need it anyway to hide the differences between the event models of the different browsers.
