AJAX is a technique to do an XMLHttpRequest (out of band Http request) from a web page to the server and send/retrieve data to be used on the web page. AJAX stands for Asynchronous Javascript And XML. It uses javascript to construct an XMLHttpRequest, typically using different techniques on various browsers.
jQuery (website) is a javascript framework that makes working with the DOM easier by building lots of high level functionality that can be used to search and interact with the DOM. Part of the functionality of jQuery implements a high-level interface to do AJAX requests. jQuery implements this interface abstractly, shielding the developer from the complexity of multi-browser support in making the request.
On StackOverflow, pressing the up-vote button is AJAX whereas typing in your question or answer and seeing it appear in the real-time preview window below it is JavaScript (JQuery).
This means that the difference between AJAX and Javascript is that AJAX allows you to communicate with the server without doing a page refresh (i.e. going to a new page) whereas JavaScript (JQuery) allows you to embed logic and behaviour on your page. Of course, with this logic you create AJAX as well.
A more simple English explanation: jQuery is something that makes AJAX and other JavaScript tasks much easier.
Ajax is a technology / paradigm, whereas jquery is a library (which provides - besides other nice functionality - a convenient wrapper around ajax) - thus you can't compare them.
It's really not an 'either/or' situation. AJAX stands for Asynchronous JavaScript and XML, and JQuery is a JavaScript library that takes the pain out of writing common JavaScript routines.
It's the difference between a thing (jQuery) and a process (AJAX). To compare them would be to compare apples and oranges.
AJAX is a way of sending information between browser and server without refreshing page. It can be done with or without library like jQuery.
It is easier with the library.
Here is a list of JavaScript libraries/frameworks commonly used in AJAX development.
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