If you predict that your AJAX request may take a second or two, it's very important to show the user that the site is actually doing something, as the browser won't say a word. The way to do that in AJAX is with a lovely little animated gif... or even a small flash movie if you like.
I just wanted to post a link to a page that has plenty of AJAX indicators for your to choose from: http://www.napyfab.com/ajax-indicators/
If you are putting one of these indicators on a dark background, be sure to click the "Black" link at the top!