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I don't really have any particular functionality in mind for a particular site, but would rather like to learn how it all works so that when I click on a 'Digg It' button, I know what's going on in the background. Of course, once I know how to use AJAX I would then use it where appropriate.
I'll follow your advice though, and start with some JavaScript.
I've always stayed away from JavaScript and tried to do everything using simple html or PHP; even for rollovers I use CSS.