Alternatively, you can use something like the following to set a default, but still allow other contexts to be set via the "format" parameter:
$ajaxContext = $this->_helper->getHelper('AjaxContext');
$currentContext = $ajaxContext->getCurrentContext();
if (empty($currentContext)) {
$ajaxContext->initContext('xml');
}
This code can be placed in your controllers' init(), which would set the default context for all actions. It can also be placed in individual actions to set the default context on a per-action basis.
Note that you can also change the parameter name to something other than "format" with this:
$ajaxContext->setContextParam('type');
Then you could call your action with '/controller/action/type/xml'.