Unlike communications such as posts to the collective "News Feed," another user's "Walls" and comments on the pictures and videos he posts, messages you send in Facebook chat are always in real-time. Whether or not you should expect a real-time response is something you can gauge from the symbol next to your friend's name.
When you pop open a Facebook chat box, you will notice that the grouping of friends located near the top of the list all have green circles next to their name. This indicates that they are actively using Facebook and should be available for chat. Note that this doesn't always guarantee they'll be able to respond to you right away -- the list of "Available" friends includes users on both computers and mobile devices, the latter of which may or may not notify them of new messages as they're received.
The other symbol that appears within Facebook Chat is a half-moon symbol, which signifies that a user is idle. In other words, he's logged into Facebook and has a browser window open to the site, but is not actively using it -- and, in fact, may not even be at his computer. It's still possible to send a chat message to an idle user, but if you don't receive a response, don't take it personally.
You may notice a third -- and probably smaller -- subdivision in your chat list, located above the two "Available" and "Idle" sections. It's set off by text that reads "Limited Profile" -- in other words, users you've befriended, but have chosen only to show a limited version of your profile. It's possible to block these users from chatting with you -- which eliminates the "Limited Profile" demarcation from your chat list altogether -- by clicking "Friend Lists" and then clicking the check mark next to "Limited Profile."
New Facebook Messages and Chat
Since February 2011, Facebook has gradually been rolling out a new messaging interface, which integrates Facebook chat with the private messages you usually exchange with friends. Prior to this rollout, messages you sent to someone while idle or immediately before she went offline wouldn't have been delivered to her unless you explicitly opted to send them as messages. With this new system, messages you send to others automatically end up archived in their in-boxes, regardless of online status, allowing you to keep a record of all conversations you have with each friend.