So what choice do we have?
1. Using Google: Using google means that there is a high likelihood that your visitor already visited a site that references the same file and so it means they won't need to download it again and hence the page will load faster.
To avoid needlessly overloading servers, browsers limit the number of connections that can be made simultaneously. Depending on which browser, this limit may be as low as two connections per hostname.
Using the Google AJAX Libraries CDN eliminates one request to your site, allowing more of your local content to downloaded in parallel. It doesn’t make a gigantic difference for users with a six concurrent connection browser, but for those still running a browser that only allows two, the difference is noticeable.
In the case of Google’s AJAX Libraries CDN, what this means is that any users not physically near your server will be able to download jQuery faster than if you force them to download it from your arbitrarily located server.
2. Local version of jQuery. The benefit of using a local version is that when you use compression is that jQuery gets bundled with the other framework scripts into a single file so it reduces the file size as well as the number of http requests your site uses to load.
But question is if this is really benefit
You can select Google or Local inside template setting->Settings->Performance:
So to sum it up, according to my opinion using Google to host your jQuery is better choice.