Rob Gonda goes over some good details of XmlHttpRequest vs. iFrames in a recent article for AJAX Developer Journal. I actually utilize both in this site. Most of the examples run off of XmlHttpRequest, but I've done some work with <CF_SRS> which uses iFrames for communication.
Rob's article is a good read to get to know the differences of each.
Ajax: XMLHttpRequest Vs. iFrames ? There is not better or worse when comparing these two techniques, but they are certainly different. While both of them allow you to communicate with the server in the background, you should choose the appropriate for your situation.