I faced the same issue with the official jQuery example (see my comment above). I isolated the problem to CSS themes and started stripping away junk. Before I finished I found a guy had done exactly what I needed: http://keith-wood.name/datepickBasics.html
It required DatePicker.js and a single CSS file. All told 2 HTTP requests and 40 kB in addition to the basic jQuery file everybody should have cached like Darin says.
