1) Content Delivery Network (CDN)
From Scoth Guthrie: Microsoft Ajax CDN (Content Delivery Network) is a service that provides caching support for AJAX libraries (including jQuery and ASP.NET AJAX). The service is available for free, does not require any registration, and can be used for both commercial and non-commercial purposes. Using a CDN can significantly improve a website's end-user performance, since it enables browsers to more quickly retrieve and download content.
Link to CDN site: http://www.asp.net/ajaxlibrary/CDN.ashx
2) With jQuery, there are two versions minified and full. Use the full version if you want to debug.
jQuery version 1.4.1
3) To get intellisense with JQuery you can enter /// <reference path="jquery-1.2.3.js" /> to the start of your script. For more information, check a James Hart blog entry and a Scott Guthrie blog entry.
4) Firebug is a great tool for debugging web pages!
5) jQuery and AJAX can be used together with Silverlight to build a website.