The first way, which seems to me to be the easiest and most efficient, is to let Google do it for you for free. This is because Google host the library on their vast server array and all you need to do to access it is to include the following HTML in your page:
The alternative way of including JQuery in your page is to download it from the JQuery website and host it on your own server, which sounds like extra work to me.
Once you’ve included JQuery, a simple way of figuring out if it’s working is to simply display the version number. The sample code below demonstrates how:
Google provide more information on the libraries they host at this address: http://code.google.com/apis/libraries/, whilst the main JQuery website address is: http://jquery.com/