It's generally a good idea to combine and minify your own development JavaScript. Having multiple HTTP requests can slow down load times if there are too many requests (especially if there are multiple small files). Google PageSpeed Insights gives some guidelines on how to do it here.
As @veroxii says, most people end up using a "build" since minifying and combining everything manually would be a huge waste of time. For small sites that I work on that don't really have a built in minification system, I like to use gulpjs along with gulp-uglify and gulp-concat to minify and combine javascript resources.
You have to be careful when combining though because often times, scripts will depend on other scripts. Say you have two scripts that you combined where scriptB depends on scriptA. If the browser loads and runs scriptB before scriptA because it came first in the combined file, then bad things will happen. Either be careful with your script combination or use something like requirejs.
You can't really do much in terms of minification or combination when using a third party script loaded in from a CDN (like jQuery) except use the production script.min.js resource that they provide. You could potentially download their script and throw it into your minification process, but most users are more likely to already have the CDN version cached by their browser.
The biggest thing when it comes to JavaScript is making sure the loading of the scripts don't block the rendering of the page. Most JavaScript is useless without content, so why not let the content load first and then load in the script? Users will see the content first and then interact so it's probably a good idea to load those resources in that order. More on that here. Either put your script tags at the bottom of the page, use the asyncattribute, or use an asynchronous javascript loader like loadJS or requirejs.
