In summary:
<table border=1>
<tr><td></td><td>XHR</td><td>iFrame</td></tr>
<tr><td>Multithread</td><td>yes</td><td>no</td></tr>
<tr><td>Back button</td><td>no</td><td>yes</td></tr>
<tr><td>Cross-site</td><td>no</td><td>yes</td></tr>
<tr><td>Statuses</td><td>yes</td><td>no</td></tr>
</table>
http://ajax.sys-con.com/read/188390_p.htm<br/>

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/