WebSockets is an emerging standard (currently in draft) that aims to do just that - provide low-latency, bidirectional sockets for you to provide send and receive data. There are a bunch of server libraries for every major programming language, as well as fallbacks (to flash, for example) for browsers which don't (yet) support it. You can try some demos to see what it's all about:
Otherwise, the technique of long-polling and other Comet techniques has been used for a long time, so they'll have to suffice if you're not ready to give WebSockets a go. I don't think I need to provide any implementation examples - they are ubiquitous - Facebook, Hotmail, Twitter, Gmail... the list goes on. There's also lots of source code available - just Google! (or Bing, or whatever your preferred search engine is)
Notes: Currently, Google Chrome 10, Apple Safari 5, Firefox 6 and Opera 10 and above support WebSockets natively. Firefox 4 and 5 have it disabled by default.