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You can load jQuery from a CDN with the following layout XML, placed within your <default> handle in local.xml or other layout XML file:

<reference name="head">
    <block type="core/text" name="head.jquery">
        <action method="setText">
            <text><![CDATA[<script src="//ajax.googleapis.com/ajax/libs/jquery/3.3.1/jquery.min.js"></script><script>window.jQuery||document.write('<script src="//ajax.googleapis.com/ajax/libs/jquery/3.3.1/jquery.min.js">\x3c/script>');</script><script>jQuery.noConflict();</script>]]></text>
        </action>
    </block>
</reference>

Replace the version/URL accordingly.

Is it worthwhile?

Whether or not you will get much of doing this is debatable.

In my experience I've found that it's generally better not to do this; jQuery's size after gzipping is pretty minimal compared to things like product images, and it can slow down local development if you have connection problems while working.

Note: code snippet taken from answer to this question, which appears to be valid.