I'm delighted to say that Microsoft have offered to host DataTables on their CDN! I have a blog host here with further information: http://datatables.net/blog/Microsoft_CDN .
Basically all you need to do to use DataTables from the Microsoft CDN is:
Then initialise DataTables as you normally would. Couldn't be simpler :-)
I've put together a (intentionally) very simple demo page, showing nothing but a static HTML file loaded from DataTables.net, and DataTables being loaded from the CDN: http://datatables.net/media/blog/cdn/ . The only CSS used on the page is provided by the CDN, so there is only styling on the DataTable, and doesn't effect the rest of the page (which would be using your own stylesheets).
Thank you to Microsoft for hosting DataTables on their CDN!