Form validate & submit functions not firing on form loaded with AJAX
Well im not so sure about exiting...

i would try in my ajax callback:

function MYMODULE_my_ajax_callback() {
  $commands = array();
  $form = drupal_get_form('my_form');
  // im doing a replace command as an example, this could be another command invoked..
  $commands[] = ajax_command_replace('#container-to-append-form', render($form));


  $page = array('#type' =&gt; 'ajax', '#commands' =&gt; $commands);
  ajax_deliver($page);
}