I frequently have people ask me whether they should store jQuery libraries in house or reference external Content Delivery Networks (CDNs) instead.
I see plusses and minuses for using the various CDNs out there. (There are several big ones: Google, Microsoft, etc.) Reducing the ‘hits on the server’ thing is potentially one plus, but unless you are seeing significant performance issues, there’s not really a benefit there.
My biggest concern is always one of control. By using a CDN, you are deciding that you trust Google or Microsoft more than you trust yourself to store and serve up the files. Yes, that’s their business, and they have a fantastic track record, but.
Another thing is the whole firewall question. While you may be reducing the traffic on the server and from your server to the browser, you’re increasing the traffic across the firewall. In many cases, I see the network as a far bigger problem than the SharePoint server(s) when it comes to throughput. Make sure your firewall guys can handle it and sign off on it.
Finally, by hosting things yourself, you have control over naming, version management, etc. If there’s a new version of jQuery (or anything else), you probably don’t want to just have Google flip you to it automatically. Given this, the whole ‘kept up to date’ argument sort of falls apart.
All in all, I’m not sold on using a CDN at all. If you want "out of sight, out of mind", then it’s a decent option, but if you have problems, don’t tell me I didn’t warn you!