For the record, the newest Greasemonkey versions should now provide a much better alternative to this.

See http://wiki.greasespot.net/Metadata_block#.40require for an example of how to efficiently load jQuery from the Google AJAX API … at userscript install time via the @require metadata key.

It really is very simple now—an example from the page linked aboved:

// ==UserScript==
// @name          Hello jQuery
// @namespace     http://wiki.greasepot.net/examples
// @description   jQuery test script
// @include       *
// @require       http://ajax.googleapis.com/ajax/libs/jquery/1.2.6/jquery.js
// ==/UserScript==

$(document).ready(function() {
	$("a").click(function() {
		alert("Hello world!");
	});
});

And here’s a script I wrote which takes the top 100 movie torrents from The Pirate Bay and adjusts the size of each link based on its IMDB rating:

Install the Greasemonkey script and visit The Pirate Bay’s Top 100 Movies page to see it in action. You can also view the source.