I have made to solutions for this problem in drupal 7. First one I solve it with Ajax as was requested(if someone want I can convert this to drupal6), however it should be better to solve this using attribute #states. So also made a solution in the bottom using states.
How to solve this using Ajax:
function ajax_in_drupal_form($form, &$form_state)
{
    $baseball = array(
        'like' => t('I like Baseball'),
        'unlike' => t('I don\'t like Baseball')
    );
    $form['step'] = array(
        '#prefix' => '<div id="baseball-wrapper">',
        '#suffix' => '</div>',
    );
    if ($form_state['values']['baseball'] == 'like') {
        $form['step']['team'] = array(
            '#type' => 'textfield',
            '#title' => t('My favorite team is'),
        );
        $form['step']['player'] = array(
            '#type' => 'textfield',
            '#title' => t('The player I like most is'),
        );
    }
    else if ($form_state['values']['baseball'] == 'unlike') {
        $form['step']['other'] = array(
            '#type' => 'textfield',
            '#title' => t('What do you like'),
        );
    }
    else {
        $form['step']['baseball'] = array(
            '#type'    => 'radios',
            '#options' => $baseball,
            '#title'   => t('Select your option'),
            '#ajax' => array(
                'callback' => 'ajax_update_step_callback',
                'wrapper'  => 'baseball-wrapper',
            ),
        );
    }
    return $form;
}
function ajax_update_step_callback($form, $form_state) {
    return $form['step'];
}
Here is the solution using #states(The preferred way of solving it):
function states_in_drupal_form($form, &$form_state)
{
    $baseball = array(
        'like' => t('I like Baseball'),
        'unlike' => t('I don\'t like Baseball')
    );
    // step 1
    $form['step']['baseball'] = array(
        '#type'    => 'radios',
        '#options' => $baseball,
        '#title'   => t('Select your option'),
        '#states' => array(
            'invisible' => array(':input[name="baseball"]' => array('checked' => TRUE),
            ),
        )
    );
    // step 2 like baseball
    $form['step']['team'] = array(
        '#type' => 'textfield',
        '#title' => t('My favorite team is'),
        '#states' => array(
            'visible' => array(':input[name="baseball"]' => array('checked' => TRUE)),
            'visible' => array(':input[name="baseball"]' => array('value'   => 'like')),
        )
    );
    $form['step']['player'] = array(
        '#type' => 'textfield',
        '#title' => t('The player I like most is'),
        '#states' => array(
            'visible' => array(':input[name="baseball"]' => array('checked' => TRUE)),
            'visible' => array(':input[name="baseball"]' => array('value'   => 'like')),
        )
    );
    // step 2 I don't like baseball
    $form['step']['other'] = array(
        '#type' => 'textfield',
        '#title' => t('What do you like'),
        '#states' => array(
            'visible' => array(':input[name="baseball"]' => array('checked' => TRUE)),
            'visible' => array(':input[name="baseball"]' => array('value'   => 'unlike')),
        )
    );
    return $form;
}