If you're using jQuery it has a callback function to overcome this:
http://docs.jquery.com/Ajax/jQuery.ajax#options
As of jQuery 1.2, you can load JSON
data located on another domain if you
specify a JSONP callback, which can be
done like so: "myurl?callback=?".
jQuery automatically replaces the ?
with the correct method name to call,
calling your specified callback. Or,
if you set the dataType to "jsonp" a
callback will be automatically added
to your Ajax request.
Alternatively you could make your ajax request to a server-side script which does the cross-domain call for you, then passes the data back to your script
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