As cited elsewhere in this thread, jQuery is in use on >75% of the web. The only way you don't have jQuery cached is if you don't regularly use the web.
jQuery.com doesn't mention linking to it, only downloading, and references to their CDN and other CDNs is at the bottom of their Download page. They focus on the download option probably because people generally want to have more control of their sites and would rather have "their" jQuery file be loaded from the same CDN as their site's other assets.