A nice exemplar is AJAX-JSF sequence diagram, also with some activity diagram examples. I have been using the commercial Enterprise Architect (very good), the free ArgoUML and I see that MyEclipse support sequence diagrams now too. There is a list of more tools at UML.ORG.
IBM/Rational have quite a few good UML pages: UML’s Sequence Diagram, UML Sequence diagrams with style as part of their Web Services Program Tips and Techniques series at developerworld. I liked the UML workbook series. However, IBM and Rational don’t seem to have material directly related AJAX. I wonder whether this reflects the market: perhaps back-end systems are traditionally well-documented, while web systems are traditionally slackly documented?