I just struggled with a problem in a web application that I develop, and wanted to inform the rest of the community and the IE developers in case they run into it (or would like to fix it in an IE service pack).
I'm using XDomainRequest to issue requests. Most of my requests were succeeding as expected (and all were in IE9 Beta and IE8), but occasionally some specific requests would abort in the browser after the response was received. The server would return the full response and a 200 HTTP response code, but inspecting the requests in Fiddler shows that they're inexplicably aborted occasionally (one specific response of approximately 917 bytes of JSON which results in a bit of browser UI updating would abort approximately 70% of the time... another request which is just a no-op would succeed nearly 100% of the time).
The solution in my case was to add the following event handler to the XDomainRequest object:
invocation.onprogress = function() {};
Other handlers may also be necessary (the complete list that I now have specified are: ontimeout, onerror, onload, onprogress) to avoid this.
I hope this saves someone else some time!