<p>Is it possible to intercept every request made from a page using javascript? i.e. Clicking on a link, loading an image, ajax request...</p>

In a word, no.  There's no place you can hook into to get all the requests.
Having said that, you can us javascript to place event handlers on the links, look at the src attribute of image tags and so on.  There's no "generic" way to hook into all the AJAX requests - it depends on the library you're using.
There are other things to consider, such as CSS background images, Flash (what if a flash file makes a request?).
If possible you should be using the browser itself (e.g.
Firebug
) or a proxy (e.g.
Fiddler
) or a packet sniffer (e.g. Ethereal... seems to be
WireShark
now)