At DrupalCamp NJ (the first ever, glad NJ is getting some love!), Jesse Beach from Acquia presented her thoughts how content is served in Drupal, and how to fix some problems that have surfaced over the years of web development. The traditional method for serving content to browsers is to have the server send off the entire DOM all at once. This was okay when websites were much simpler and developers created them using individual HTML pages, but websites are much more complicated now and often behind a complex CMS like Drupal.
To help illustrate this problem, lets take a small Drupal 7 site configuration into consideration. When Drupal serves a page, it does a lot of work for that one request. Drupal needs to load and process every module that is enabled on your website all at once, which is part of the Drupal "bootstrap" process. This uses up a ton of memory on your the web server... A Drupal 7 site with ~20 contrib modules enabled could use between 40-50MB of RAM every time a page is requested! To alleviate this, there are a ton of ways you can cache data to prevent the server from working too hard. With anonymous page caching, APC, and CSS & JS caching enabled, you can reduce that memory usage to around 5 MB per anonymous page request. Big difference!
Even with all of the advances in caching techniques, there is a large push to alter the traditional way that pages are served. Jesse's presentation focused on what's called client-side content inclusion. All this really means is loading content as it's needed and not all at once. Most users only care about the primary page content, especially on mobile devices where bandwidth is a big concern.
How it's done
The second approach is similar, but instead of loading the content when a user takes an action, the content is automatically loaded after the main content has already been retrieved. This is not a new concept by any means, but it's not something that's easily achieved today. However, this approach is not ideal for Drupal because every request bootstraps the whole CMS.
Thoughts & concerns
As for Drupal, work is being done to make it easier to include content without doing massive Drupal bootstraps each time. Check out the Content API module (in active development). There is also a fairly large initiative for Drupal 8 called WSCCI that is attempting to make Drupal more of a "service" with a CMS on top of if. That will make it much much easier to do content includes dynamically.