In summary:
| XHR | iFrame |
Multithread | yes | no |
Back button | no | yes |
Cross-site | no | yes |
Statuses | yes | no |
http://ajax.sys-con.com/read/188390_p.htm
And a more detail comparison:
http://www.quirksmode.org/blog/archives/2005/12/the_ajax_respon.html http://www.quirksmode.org/blog/archives/2006/01/the_ajax_respon_1.html
Comparing using JavaScript tag, iframe and SafeFrame standard for Ad serving - http://zawadzinski.com/2013/02/17/ad-serving-insights-ad-invocation-codes-and-placement-tags/