Ashwin Mathew made an online presentation dedicated to developing AJAX Applications in ColdFusion 8 (it was 21st May 2008 at the Bay Area ColdFusion User Group). You can see the full Adobe Connect recording complete with chat and other Connect features here: ColdFusion 8 AJAX by Ashwin Mathew.
Also, there’s article in the Adobe Developer center with an overview of Ajax features in ColdFusion 8.
To get even deeper with this subject, you may want to read Flex 3 vs ColdFusion 8 Ajax article by Dale Fraser. He compares different UI features available in Flex 3 and ColdFusion 8 AJAX, and makes his verdict about pros and cons of both approaches.