Referencing javascript libraries from Content Delivery Networks (CDN) like jQuery can have many benefits. The self-hosted javascript files are on the other hand give you more control. But in one situation it is much better with cdns: the development. Like Marc D Anderson pointed:

I didn’t realize it at the time, but this txt file has become a standard part of my toolkit already. I’ve added it to three client environments just since last week. It’s the A #1 fastest way to get something up and running, even if you know you’re going to host the files locally later.

To integrate ASP.NET Ajax Toolkit is not the most straight forward task in SharePoint. If you want to take the risk, “Inspired by Technology” provides the best guide so far.