Of course I am aware of Ajax, but the problem with Ajax is that the browser should poll the server frequently to find whether there is new data. This increases server load.
Is there any better method (even using Ajax) other than polling the server frequently?
Comet is definitely what you want. Depending on your language/framework requirements, there are different server libraries available. For example, WebSync is an IIS-integrated comet server for ASP.NET/C#/IIS developers, and there are a bunch of other standalone servers as well if you need tighter integration with other languages.
An interesting alternative to Comet is to use sockets in Flash.
Yes, what you're looking for is COMET http://en.wikipedia.org/wiki/Comet_(programming). Other good Google terms to search for are AJAX-push and reverse-ajax.
Comet was actually coined by Alex Russell from Dojo Toolkit ( http://www.dojotoolkit.org ). Here is a link to more infomration http://cometdproject.dojotoolkit.org/
Look into Comet (a spoof on the fact that Ajax is a cleaning agent and so is Comet) which is basically "reverse Ajax." Be aware that this requires a long-lived server connection for each user to receive notifications so be aware of the performance implications when writing your app.
http://en.wikipedia.org/wiki/Comet_(programming)
Might be worth checking out Meteor Server which is a web server designed for COMET. Nice demo and it also is used by twitterfall.