I can see pros for both sides:
- If it's on my servers, that's one less external dependency; if jQuery went down or changed their hosting structure or something like that, then my app breaks. But I feel like that won't happen often; there must be lots of small-time sites doing this, and the jQuery team will want to avoid breaking them.
- If it's on my servers, that's one less external reference that someone could call a security issue
- If it's referenced externally, then I don't have to worry about the bandwidth to serve the files (though I know it's not that much).
- If it's referenced externally and I'm deploying this web site to lots of servers that need to have their own copies of all the files, then it's one less file I have to remember to copy/update.