well you have to figure on a forum that most people use quick reply. Now, if a thread has at least 40 posts, which is where it normally has a page break, that means the function that returns posts from the database on a new page load would have to iterate 40 times. So there's all that activity on the server that houses the database.
Now in addition to that, think of all the images, although they are small, they are still numerous. With Ajax nothing is returned at all and one record is written to the database. Now multiply that by the number of posts we get here per day. A significant saving of both bandwidth and server load.