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Using the HTTP Request, you can call the script without refreshing the page, and still have the form "fallback" to working when the XML HTTP Request Object is not available.
The Object makes many things easier and neater than they other would be, and introduces some things that were otherwise impossible such as HEAD requests to see when a resource was last modified, or to see if it even exists.
Another simple use is finding if a url exists, in HTTP there are various status codes returned by both HEAD and GET requests, 200 means success, 404 means failure, and the others mean other things. using the Forms are the way to "call" serverside scripts in HTML, they force the page reload, and this is often not very user friendly.
Other methods of identifying what to return may be appropriate depending on the type of data you send to the server, or you could simply use different urls for the form submission and xmlhttp request, whatever you do, remember to have sensible fallback to the non-xml http request browsers where possible.
Whilst XML can be used to encode the information you retrieve with the object and it will be available in the response XML property, however xml is less well supported, some browsers require that the content type of the resource is one of only 2 possible XML mime-types text/xml or application/xml for the property to be populated, and there are always the normal well formness problems you always get with XML.