The main advantage to using a CDN is that a single copy can be cached across multiple websites, meaning that the first time someone visits your site, there's a good chance your version of jQuery already sits on their computer. Plus, the Google CDN will often serve content faster than your own site. And, since jQuery is now so "integral" to websites, it almost seems silly to have to maintain a copy of it yourself.
But the main downside to using a CDN is that, CDN's have gone down before, and that means your site will stop working. Obviously, it doesn't happen often, but it happened once to a widely used site of a friend of mine, and he swore, never again will he reference jQuery on a CDN. I personally prefer to host myself too. (But not out of bandwidth savings, that just winds up being trivial.)