For me, the ones that I've found most immediately useful are the performance enhancement centric tags like cfthread. Having an event based framework that was unable to spawn threads was always a problem. Now every event can be launched into a thread where the processing is done in parallel. Just as it should be :-)
Threading is the one single thing that has the capability to make the responsiveness of ColdFusion sites legendary.
Other things that have caught my eye and I'm tinkering with are the cfpresentation capabilities and improved PDF functions.
On the AJAX side of things, I haven't had a client as yet that really needs it for their site to be workable so I can't really say. It looks cool though.
The cfexchange and cfpdf functionality have opened up new areas of development for me that I have struggled with or waited on for a long time. With these, Adobe has made certain projects I have worked on for years MUCH easier.
Additionally the performance enhancements were a huge welcome. To see the memory usage decrease so much and the speed of existing websites instantly improve was very satisfying.
Where to start....I guess for me I'd go with cftextarea with the integration of FCKEditor/ricktext (which I heavily use in an app I developed). The AJAX is great and my co-worker and I are starting to enhance our applications with Spry.