Is there a way to use XMLHttpRequest in combination with other domains?
I would like to parse some xml from Google without having to use a server so it is minimalistical
Nope, not right now. I believe I read that plans/design's are in the works by standards groups for the future, so we can securely do this.
Cross site scripting vulnerabilities would be rampant other wise.
JSONP is a possible solution if the other sites API supports.