Rey Bango posted a nice entry to help debug Ajax calls. The problem people usually run into is that Ajax triggers a remote call in the background and they have no idea to see why it failed. ajaxCFC will show you the ColdFusion error, if any, but if the problem breaks to communication for some reason it will just say invalid reply from the server... but why?! I always tell people to install a nice http sniffer, and Rey confirms it.
The moral of the story is: use Firefox, use FireBug.