Here\'s the problem:
1.) We have page here... www.blah.com/mypage.html
2.) That page requests a js file www.foo.com like this...
For cross domain hits this is a good working example and now is considered as some what "standard" http://www.xml.com/pub/a/2005/12/21/json-dynamic-script-tag.html.
there are other ways as well, for eg injecting iframes with document.domain altered
http://fettig.net/weblog/2005/11/28/how-to-make-xmlhttprequest-connections-to-another-server-in-your-domain/
I still agre that the easy way is calling a proxy in same domain but then it's not truly client side WS call.