Advantage of CDN: performance benefit, if the visitor to your webpage has already downloaded a copy of jQuery from the same CDN, it won’t have to be re-downloaded
Disadvantage of CDN: if the CDN is down then your website will not work!
Always use a CDN where you can is the advice, Google’s CDN is guaranteed to be online 100% of the time since they have so many cloud servers spread around the world. Personally I prefer to use CDN’s but the only downside is you have no control over the expiry headers and what not but that is not a bad thing, while you may not have control over headers for CDN hosted content you do have complete assurance that your users are getting the files from the closest server to their physical location on Earth.