XML parsing of a variable string in JavaScript

Updated answer for 2017

The following will parse an XML string into an XML document in all major browsers. Unless you need support for IE <= 8 or some obscure browser, you could use the following function:

function parseXml(xmlStr) {
   return new window.DOMParser().parseFromString(xmlStr, "text/xml");
}

If you need to support IE <= 8, the following will do the job:

var parseXml;

if (typeof window.DOMParser != "undefined") {
    parseXml = function(xmlStr) {
        return new window.DOMParser().parseFromString(xmlStr, "text/xml");
    };
} else if (typeof window.ActiveXObject != "undefined" &&
       new window.ActiveXObject("Microsoft.XMLDOM")) {
    parseXml = function(xmlStr) {
        var xmlDoc = new window.ActiveXObject("Microsoft.XMLDOM");
        xmlDoc.async = "false";
        xmlDoc.loadXML(xmlStr);
        return xmlDoc;
    };
} else {
    throw new Error("No XML parser found");
}

Once you have a Document obtained via parseXml, you can use the usual DOM traversal methods/properties such as childNodes and getElementsByTagName() to get the nodes you want.

Example usage:

var xml = parseXml("<foo>Stuff</foo>");
alert(xml.documentElement.nodeName);

If you're using jQuery, from version 1.5 you can use its built-in parseXML() method, which is functionally identical to the function above.

var xml = $.parseXML("<foo>Stuff</foo>");
alert(xml.documentElement.nodeName);

Update: For a more correct answer see Tim Down's answer.

Internet Explorer and, for example, Mozilla-based browsers expose different objects for XML parsing, so it's wise to use a JavaScript framework like jQuery to handle the cross-browsers differences.

A really basic example is:

var xml = "<music><album>Beethoven</album></music>";

var result = $(xml).find("album").text();

Note: As pointed out in comments; jQuery does not really do any XML parsing whatsoever, it relies on the DOM innerHTML method and will parse it like it would any HTML so be careful when using HTML element names in your XML. But I think it works fairly good for simple XML 'parsing', but it's probably not suggested for intensive or 'dynamic' XML parsing where you do not upfront what XML will come down and this tests if everything parses as expected.