For internet applications, it's better to use a CDN:
There are a couple of benefits to using a CDN. The first is a faster
experience to the user, because the jQuery library file is downloaded
from the server closest to them, rather than from your servers. Often
the file won’t be required at all. jQuery is so popular that the
user’s browser may have already cached the library from another
application that also uses jQuery. The second benefit is that none of
your precious and expensive bandwidth is spent delivering jQuery to
the user. For high-traffic sites, this can be a significant cost
savings.
Be aware that:
When using a CDN, you must have confidence in the CDN operator. You
want to be sure that the user receives the file they are supposed to
and that service will always be available
Therefore, you need to choose reliable CDNs:
Google and Microsoft both provide CDN services for jQuery (and other
popular JavaScript libraries) free of charge. Both companies have good
experience running highly available services and are unlikely to
deliberately tamper with the jQuery library
For intranet applications:
The CDN approach isn’t suitable for applications that are delivered to
users within an intranet because it causes all the browsers to go to
the Internet to get the jQuery library, rather than access the local
server, which is generally closer and faster and has lower bandwidth
costs.
Quoted from the book Pro JQuery