Several big companies offer copies of jQuery hosted on their CDN's (Content Delivery Network). Most notoriously Google, but also Microsoft and jQuery themselves. A lot of people swear by this since it saves bandwidth, downloads faster, and perhaps even stays cached jumping between different sites that use the same script.
There is always that twinge of doubt though, that perhaps something goes wrong with these big companies CDN at the script isn't available (it happens). It's more reliable to use your own website, as hey, if they are loading your webpage, then your server is up and will server the script just fine, albeit with out the benefits of the CDN.
So perhaps the best solution is to use both methods! Use the CDN first, and if it fails, load the local copy. Here is a technique: