You could do this various different ways. It could be a subtle as a small status on the page saying "Loading...", or as loud as an entire element graying out the page while the new data is loading. The approach I'm taking below will show you how to accomplish both methods.

The Setup

Let's start by getting us a nice "loading" animation from http://ajaxload.info I'll be using

Let's create an element that we can show/hide anytime we're making an ajax request:

<div class="modal"><!-- Place at bottom of page --></div>

The CSS

Next let's give it some flair:

/* Start by setting display:none to make this hidden.
   Then we position it in relation to the viewport window
   with position:fixed. Width, height, top and left speak
   for themselves. Background we set to 80% white with
   our animation centered, and no-repeating */
.modal {
    display:    none;
    position:   fixed;
    z-index:    1000;
    top:        0;
    left:       0;
    height:     100%;
    width:      100%;
    background: rgba( 255, 255, 255, .8 ) 
                url('http://i.stack.imgur.com/FhHRx.gif') 
                50% 50% 
                no-repeat;
}

/* When the body has the loading class, we turn
   the scrollbar off with overflow:hidden */
body.loading .modal {
    overflow: hidden;   
}

/* Anytime the body has the loading class, our
   modal element will be visible */
body.loading .modal {
    display: block;
}

And finally, the jQuery

Alright, on to the jQuery. This next part is actually really simple:

$body = $("body");

$(document).on({
    ajaxStart: function() { $body.addClass("loading");    },
     ajaxStop: function() { $body.removeClass("loading"); }    
});

That's it! We're attaching some events to the body element anytime the ajaxStart or ajaxStop events are fired. When an ajax event starts, we add the "loading" class to the body. and when events are done, we remove the "loading" class from the body.

See it in action: http://jsfiddle.net/VpDUG/4952/

You can run a CSS animation on page load without using any JavaScript; you just have to use CSS3 Keyframes.

Let's Look at an Example...

Here's a demonstration of a navigation menu sliding into place using CSS3 only:

@keyframes slideInFromLeft {
  0% {
    transform: translateX(-100%);
  }
  100% {
    transform: translateX(0);
  }
}

header {  
  /* This section calls the slideInFromLeft animation we defined above */
  animation: 1s ease-out 0s 1 slideInFromLeft;
  
  background: #333;
  padding: 30px;
}

/* Added for aesthetics */ body {margin: 0;font-family: "Segoe UI", Arial, Helvetica, Sans Serif;} a {text-decoration: none; display: inline-block; margin-right: 10px; color:#fff;}

<header>
  <a href="#">Home</a>
  <a href="#">About</a>
  <a href="#">Products</a>
  <a href="#">Contact</a>
</header>

Break it down...

The important parts here are the keyframe animation which we call slideInFromLeft...

@keyframes slideInFromLeft {
    0% {
        transform: translateX(-100%);
    }
    100% {
        transform: translateX(0);
    }
}

...which basically says "at the start, the header will be off the left hand edge of the screen by its full width and at the end will be in place".

The second part is calling that slideInFromLeft animation:

animation: 1s ease-out 0s 1 slideInFromLeft;

Above is the shorthand version but here is the verbose version for clarity:

animation-duration: 1s; /* the duration of the animation */
animation-timing-function: ease-out; /* how the animation will behave */
animation-delay: 0s; /* how long to delay the animation from starting */
animation-iteration-count: 1; /* how many times the animation will play */
animation-name: slideInFromLeft; /* the name of the animation we defined above */

You can do all sorts of interesting things, like sliding in content, or drawing attention to areas.

Here's what W3C has to say.