The old TCP/IP connection limit of two at a time is being bumped to six connections to a server.
Threading model is changing a bit for the downloads to happen in the background..
Client side DOM storage is being added (probably to compete with Google Gears)
XDR or Cross-domain Requests for easier sharing of data across different domains securely w/JSON or Perhaps XML data.
Check out the doc for a full report: http://ajaxian.com/archives/ie-8-better-ajax-css-dom-and-new-features