All modern browsers support CORS and henceforth we should leverage this addition.
It works on simple handshaking technique were the 2 domains communicating trust each other by way of HTTP headers sent/received. This was long awaited as same origin policy was necessary to avoid XSS and other malicious attempts.
To initiate a cross-origin request, a browser sends the request with an Origin HTTP header. The value of this header is the site that served the page. For example, suppose a page on http://www.example-social-network.com attempts to access a user's data in online-personal-calendar.com. If the user's browser implements CORS, the following request header would be sent:
Origin: http://www.example-social-network.com
If online-personal-calendar.com allows the request, it sends an Access-Control-Allow-Origin header in its response. The value of the header indicates what origin sites are allowed. For example, a response to the previous request would contain the following:
Access-Control-Allow-Origin: http://www.example-social-network.com
If the server does not allow the cross-origin request, the browser will deliver an error to example-social-network.com page instead of the online-personal-calendar.com response.
To allow access to all pages, a server can send the following response header:
Access-Control-Allow-Origin: *
However, this might not be appropriate for situations in which security is a concern.
Very well explained here in below wiki page.
http://en.wikipedia.org/wiki/Cross-origin_resource_sharing