Here's the HTML Tag That Calls the JavaScript Function 

<asp:DropDownList id="ddlState" runat="server" Width="160px" TabIndex="13" DataTextField="Statename" DataValueField="Statecode" onChange="return jsState()"></asp:DropDownList>


Here's the JavaScript Code That Calls the pageMethods

<!-- jsState -->
<script type="text/javascript">
function jsState()
{
  var State = document.getElementById("<%=ddlState.ClientID%>");
  document.getElementById("<%=hfselectedIndexState.ClientID%>").value = document.getElementById("<%=ddlState.ClientID%>").selectedIndex
  if(State.options[State.selectedIndex].value == "-- Select State --")
  {
    document.getElementById("<%=ddlCity.ClientID%>").selectedIndex = 0;
    document.getElementById("<%=ddlCity.ClientID%>").disabled = true;
  }else
  {
    document.getElementById("<%=ddlCity.ClientID%>").disabled = false;
    PageMethods.GetCity(State.options[State.selectedIndex].value,onSuccess_GetCity, onFailed_GetCity);
  }
}
function onSuccess_GetCity(value, ctx, methodName) {
    ClearOption(document.getElementById("<%=ddlCity.ClientID%>"));
    var i = 1 
    for(prop in value.rows)
    {
    addOption(document.getElementById("<%=ddlCity.ClientID%>"),value.rows[prop].CITYNAME,value.rows[prop].CITYCODE);    
    if(value.rows[prop].CITYCODE == document.getElementById("<%=hfCity.ClientID%>").value) 
        document.getElementById("<%=hfselectedIndexCity.ClientID%>").value = i;    
    i = i + 1;
    }
    if(bCity == true)
        document.getElementById("<%=ddlCity.ClientID%>").selectedIndex = document.getElementById("<%=hfselectedIndexCity.ClientID%>").value
        bCity=false;
    } 

function onFailed_GetCity(ex, ctx, methodName) { 
    alert(ex.get_exceptionType()); 
    // get_stackTrace(), get_message(), 
    // get_statusCode(), get_timedOut() 
} 
</script>

Heres's the WebService Function That Return The Dataset

    <System.Web.Services.WebMethod()> _
    <System.Web.Script.Services.ScriptMethod()> _
    Public Shared Function GetCity(ByVal StateCode As String) As DataTable
        Dim oDataSet As New DataSet
        Dim oCity As New cCity
        oCity.STATECODE = StateCode
        oDataSet = oCity.GetData
        Return oDataSet.Tables(0)
    End 


Web.Config Please do this if you get an exception 
I spend a loat of time trying to figure out how to solve this problem of returning a dataset 
from a Ajx WebMethod PageMethods Tried differnt things finally figured out its a simple 
uncommeting of the following tags or adding these lines to web,config. 

<jsonSerialization maxJsonLength="500">

 <converters>

  <add name="DataSetConverter" type="Microsoft.Web.Preview.Script.Serialization.Converters.DataSetConverter,
 Microsoft.Web.Preview, Version=1.0.61025.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35"/>

   <add name="DataRowConverter" type="Microsoft.Web.Preview.Script.Serialization.Converters.DataRowConverter
, Microsoft.Web.Preview, Version=1.0.61025.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35"/>


   <add name="DataTableConverter" type="Microsoft.Web.Preview.Script.Serialization.Converters.DataTableConverter, 
Microsoft.Web.Preview, Version=1.0.61025.0, Culture=neutral, PublicKeyToken=31bf3856ad364e35"/>

 </converters>

 </jsonSerialization>