Best method for cross domain ajax using jquery

Question

what is the best method today to accomplish cross domain ajax with jquery (or reular javascript).

I know one common solution is to use a "proxy" php-file on my the "data-fetching" domain. But I can't put any extra files on any domain, i should just load one single script that should modify the actual site's footer.

How do I fetch data from a html-file (or such) from another domain?