EDIT:
The OP was not looking to use cross-domain requests, but jQuery supports JSONP as of v1.5. See jQuery.ajax(), specificically the crossDomain parameter.
The regular jQuery Ajax requests will not work cross-site, so if you want to query a remote RESTful web service, you'll probably have to make a proxy on your server and query that with a jQuery get request. See this site for an example.
If it's a SOAP web service, you may want to try the jqSOAPClient plugin.
