Anytime you use an asset hosted by a third party you increase the number of possible points of failure in your application. You also risk potential bugs resulting from changes made to the asset (say, fixing a bug or updating to a new version) by the hosting party.
Page performance can potentially suffer due to latency differences between your site and the host. Network outages between the client and the host can cause your page to fail, as can internet filtering on the part of their ISP. For instance, using code hosted by Google will cause problems for anyone viewing your site from China.
It's better for security, performance, stability and version integrity to keep all of your assets in one place. Unless you're running a ridiculously high-traffic site, you shouldn't worry about distributing your content.
It's also worth noting that while jQuery isn't exactly a featherweight include, it's not obnoxiously large and, like any JavaScript includes, should be (but is not guaranteed to be) cached by the browser.