jQuery and XML are a powerful combination. In this post I'll provide a series of useful links to tutorials and resources already present on the web so that you can get an idea of how far you can go with jQuery and XML.
Reading XML with jQuery
This tutorial explains you how to parse a simple XML file with jQuery. It's recommended if you want to learn the very basics behind the process.
XML Parsing with jQuery
This tutorial is much similar to the previous one, except for the fact that the callback function of the $.ajax() wrapper is defined as a reference and not as an inline function.
jParse: jQuery XML Parse Plugin
This plugin mitigates and levels some of the main routines which always come along while parsing XML, either RSS, Atom or simple XML documents.
Processing XML with jQuery
This tutorial is a little bit more advanced than the others but, as a counterpart, is by far the most complete seen so far. I recommend you to study this tutorial after studying the other ones.