Does jQuery ship with SharePoint 2010? Short answer: No. I see this asked (publicly and internally) a few times a month. Long answer: You don’t need it to. Just use it from the Microsoft Ajax CDN.
Here’s what a script reference to jQuery 1.4.2 looks like when it is local:
Here’s what it looks like when referencing the CDN:
So that’s how easy it is to reference jQuery from your SharePoint code. However, as you can see, this applies way beyond just SharePoint programming.