While WebObjects has not been traditionally known for its Ajax support, the framework provides all of the groundwork necessary to build Ajax components and actions.
Ajax with DirectActions
Pierce T. Wetter III has written an extensive an excellent article comparing Ajax support in Ruby on Rails and Webobjects. In his article, he also provides examples of how one might integrate some of the popular Ajax libraries with WebObjects using Direct Actions.
If you would like to get up-and-running more quickly, Project Wonder provides an Ajax framework (called, of course, Ajax.framework), which provide support for many common Ajax techniques like sliders, drag-and-drop, updatable areas, etc. For the base Ajax framework, there are no dependencies on any other frameworks in Project WOnder, so it's a great place to test the waters.
Ajax request handler
If for any reasons you can't/don't use the Ajax framework or DirectActions, WebObjects 5.4 have support for a Ajax request handler that can help you handle Ajax requests. Check CodeFab presentation from WOWODC 2008 for more details.