The Google AJAX Libraries API is a content distribution network and loading architecture for the most popular, open source JavaScript libraries. By using the google.load() method, your application has high speed, globally available access to a growing list of the most popular, open source JavaScript libraries.

http://code.google.com/apis/ajaxlibs/documentation/index.html#jqueryUI

Comments

Are there any reasons why this hasn't been done yet? It seems like a really good idea.

yea ... just disable jquery_ui module and use the cdn
Edit: advagg module has a sub module to use the cdn properly in drupal.