While I don't use Microsoft or Google's CDNs for jQuery, I do have a separate sub-domain where I serve these files from (and will eventually use a CDN, I'm sure). However, this means that in Visual Studio I miss out on the helpful documentation functionality.
/// <Reference Path="/Scripts/jquery-1.4.1-vsdoc.js"/>
You'll probably want a copy stored locally so that you can use this without the extra traffic.
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