XMLHttpRequest object. Despite the name, the use of XML is not required (JSON is often used instead), and the requests do not need to be asynchronous.
- Dojo if you have a large project and can spend time on a very steep learning curve and want to be able to create and re-use widgets, data connections and whatnot.
This answer do not take into account the “fun factor”. If your aim is to have fun JQuery will give you a quick fix but Dojo will be more rewarding in the long run.