Tom Laird-McConnell has created a nice post showing how to mid-tier proxy to enable calling data services across domains. His proxy supports CRUD operations and $expand.
We’re hoping to add support for simple xdomain requests (ie. limited auth support, etc) in the near term and expand that support over time to get closer to parity with what we have today for same-domain requests. To help us prioritize this work we are very interested to hear how many people would use such "full" cross domain support with data services if it were available.
ADO.NET Data Services, Program Manager