Update based on comments:
Short version: It doesn't matter much, but it may depend on what they host. They all host different things: Google doesn't host jQuery.Validate, Microsoft did not host jQuery-UI, since 2016 they do!!, Microsoft offers their scripts that would otherwise be served via
ScriptResource.axd and an easier integration (e.g. ScriptManager with ASP.Net 4.0).
Important Note: If you're building an intranet application, stay away from the CDN approach. It doesn't matter who's hosting it, unless you're on a very overloaded server internally, no CDN will give you more performance than local 100mb/1GB ethernet will. If you use a CDN for a strictly internal application you're hurting performance. Set your cache expiration headers correctly and ignore CDNs exist in the intranet-only scenario.
The chances of either being blocked seems to be about equal, almost zero. I have worked on contracts where this isn't true, but it seems to be an exception. Also, since the original posting of this answer, the context surrounding it has changed greatly, the Microsoft CDN has made a lot of progress.
Google's CDN we're using for:
Microsoft's CDN we're using for:
The only other argument to be made would be DNS times, there is a cost to this in terms of page load speed. On Average: Simply because it's used more (it's been around longer)
ajax.googleapis.com is likely to be returned by DNS sooner than
ajax.microsoft.com, simply because the local DNS server was more likely to get a request for it (this is a first user in the area penalty). This is a very minor thing and should only be considered if performance is extremely important, down to the millisecond.
Last, if you haven't looked at it, one of the best tools out there is Firebug, and some plug-ins for it: Page Speed and YSlow. If you use a CDN but your pages are requesting images every time because of no cache-headers, you're missing the low-hanging fruit. Firebug's Net panel can quickly give you a quick breakdown of your page load-time, and Page Speed/YSlow can offer some good suggestions to help.