There are a number of decent resources helping you to make your first steps in to AHAH with Drupal 6.x. I won't try and create another start-to-finish tutorial. I just want to highlight a couple of existing resources and raise some specific issues I had (which I found to be undocumented) and pull out some fundamentals so they are more obvious.
Firstly, this page on Drupal.org is by far an away the most useful resource I found:
http://drupal.org/node/331941
Secondly, the Form API reference guide's section on #ahah is most handy too: