yahoo yql... (instead of a php? proxy serverside script)..
I have a sneaky suspicion you do not own/control the external link site, so getting content from a different site, would fall under cross-domain security restrictions (to a modern browser).
So in order to regain 'power to the user', just use http://query.yahooapis.com/.
jQuery would not be strictly needed.
EXAMPLE 1:
Using the SQL-like command:
select * from html
where url="http://stackoverflow.com"
and xpath='//div/h3/a'
The following link will scrape SO for the newest questions (bypassing cross-domain security bull$#!7):
http://query.yahooapis.com/v1/public/yql?q=select%20title%20from%20html%20where%20url%3D%22http%3A%2F%2Fstackoverflow.com%22%20and%0A%20%20%20%20%20%20xpath%3D%27%2F%2Fdiv%2Fh3%2Fa%27%0A%20%20%20%20&format=json&callback=cbfunc
As you can see this will return a JSON array (one can also choose xml) and calling the callback-function: cbfunc
.
Indeed, as a 'bonus' you also save a kitten every time you did not need to regex data out of 'tag-soup'.
Do you hear your little mad scientist inside yourself starting to giggle?
Then see this answer for more info (and don't forget it's comments for more examples).
Good Luck!