By default, browsers don\'t allow cross-site AJAX requests.
I understand that a badly envisioned cross-domain request can be a security risk. If I take the
The risk isn't to the site making the request.
For example:
In a nutshell — it prevents attackers from reading private data from any site that Alice has credentials for (and ones that are behind a firewall, e.g. Alice's corporate Intranet).
Note that this won't prevent attacks which don't depend on being able to read data form the site (CSRF), but without the Same Origin Policy the standard defence against CSRF would be easily defeatable.
You're absolutely right with your second point re JSON/XML. When proper precaution is taken, there is no risk in receiving JSON from another domain. Even if the server decides to return some nasty script, you can effectively manage risk with proper data parsing. In fact, this is exactly why the JSONP hack is so popular (see twitter's search api for example).
Already we're seeing HTML5 capable browsers introduce new objects and standards for cross domain communication (postMessage - http://dev.w3.org/html5/postmsg/ and Cross-Origin Resource Sharing - http://www.w3.org/TR/cors/ ).