A content delivery network or content distribution network (CDN) is a large distributed system of servers deployed in multiple data centers across the Internet. The goal of a CDN is to serve content to end-users with high availability and high performance. CDNs serve a large fraction of the Internet content today, including web objects (text, graphics and scripts), downloadable objects (media files, software, documents), applications (e-commerce, portals), live streaming media, on-demand streaming media, andsocial networks.
Resuming, CDN is a place where some files are hosted to improve the user experience.
If lots of websites use jQuery, instead each one of them host their own jQuery files in their server, they use jQuery files hosted in a CDN server.
This is a good idea because they'll save space and traffic in their own server at the same time they'll share the cache in the user's browser.