I surf with third party cookies and referers (via RefControl) disabled, and these should be the defaults
In any case, the defaults I live with cover all the other web resources too.
http://digiday.com/platforms/explainer-why-pixel-tracking-is...
The trend for a long time was to cite using a CDN as a best practice, but no one ever calls out the downsides when making such statements. In this case, you lose control of the code and allow third-party access to your users' browsers.
At the moment though, proposed solutions to trusting third parties with your Javascript, like the W3C proposal to put cryptographic hashes in to your <script> tags etc, don't even consider these potential positives. So we're likely going to end up with the worst of both worlds.
If anything this is just enough facet of the weakness of the web as an app platform (Real solution: all sites serving client side libs should use package management, scripts should be digitally signed by the authors). As it stands it's far too common for people to just unzip WordPress or whatever in to their docroot, and so server-side code doesn't even get updated, let alone client-side code.
Not just potentially but (f)actually!
I hacked together something that implements this sort of behavior in a script loader a while ago, if you're interested: https://github.com/ryancdotorg/VerifyJS
So, though this does allow one to safely circumvent the hosting cost associated with bigger third party scripts, it means giving up some of the advantages like dynamic updates (as the hash would now be incorrect), right? This would therefore not work when ad providers want to be able to supply content they get dynamically from others right?
It seems not uncommon for ad networks to dynamically load further scripts/content, which would not fall under the hash. You can just sandbox them off in an iframe, though.
An obvious extension would be signed scripts, which would re-enable trusted updates of a script in a CDN, but there is the question of how that would be implemented.
In short; no, just a compromised dns record is not enough.