WordPress has a framework in place for handling AJAX which is well documented here: http://codex.wordpress.org/AJAX_in_Plugins
My concern with this is that every time you execute an AJAX query, (even if you want to return a single field from a table) this framework instantiates the whole WordPress stack, including any plugins and theme functions that may exist on your site. This strikes me as a pretty heavy method to perform what may end up being a pretty simple function.
Typically a lot of WordPress sites run on shared hosting and don't have a whole lot of processing power, so, based on my experiences, a reponse time of 2 seconds to a WordPress hosted AJAX call is not uncommon.
Any recommendations on how to improve on this response time?