I have the same problem, although I'm not manually aborting the request -- I request the page and then shut down the server so that Ajax calls should fail with "connection refused".
In JQuery 1.3.2, the "error" callback fires nicely.
In JQuery 1.4.2, the "success" callback fires instead (with data="", and XMLHttpRequest.status=0).
I guess it must be a race condition or something, since the "error" callback does fire when I place some breakpoints around the "ajax" function definiton in Firebug.
I'm not sure what to do next...
In the meantime I will keep using JQuery 1.3.2.