Virtually every way you look at it, using Google's CDN is a good thing.
Performance will be improved (albeit fairly marginally, unless your site is really busy), and the amount of data your servers have to transmit will go down (although jQuery isn't exactly a massive thing to download), etc.
The only reason you wouldn't want to use it is if you don't trust Google. By using it, you are effectively giving Google an additional window of information into your site's traffic profile, including knowledge of URLs that you may otherwise not want to make public (eg secure areas of your site).
If you are paranoid about security then this may be enough to persuade you not to use them (after all, hosting it yourself isn't exactly going to slow your site down to a crawl), but in general most people would take the pragmatic view that Google knows enough about their site already that adding this won't make much difference.