Emil one of the guys behind the brilliant WebFx just wrote a post about XMLHTTP performance. Is it faster than iframe? Is it different in IE than in Mozilla. Read XML HTTP Performance and Caching. His conclusion:
This clearly demonstrates that XML HTTP is a lot faster than using a hidden iframe for small requests, most likely due to less overhead. As the filesize is increased the advantage obviously shrinks, as the majority of the time is spent transferring the data instead of handling the request.
Another thing that can be seen is that Mozilla does not cache the data received using XML HTTP, explaining why the classic iframe method is so much faster for large files in Mozilla.
Internet Explorer on the other hand caches data received using XML HTTP in synchronous mode, but not in asynchronous mode.