A CDN – short for Content Delivery Network is a way of distributing your static content across servers in various physical locations. A request to any of these resources from a browser will download them from the closest available server in the network.
The major benefit of hosting your AJAX libraries on a CDN is basically caching and speed of loading of these libraries. Google has supported CDN hosting of Javascript libraries such as jQuery since last year and with the upcoming release of ASP.NET AJAX 4.0, Microsoft also steps into the AJAX CDN hosting space. You will be able to turn on the CDN feature by just an attribute on the ScriptManager.
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The current SSL certificate on Microsoft’s servers does not seem to match the CDN server name so if you want to use HTTPS together with CDN, your users will currently get a warning about mixed security. Microsoft is also adding jQuery to their CDN. A full listing of all supported libraries can be found here. This move should give jQuery some more support in the Microsoft community, so if you are wondering about which cross platform browser library to spend your time on, jQuery is probably a good choice. I am a big fan of jQuery and looking forward to see more initiatives from the Microsoft community in this space.