iFrames can be a convinent way of loading content from one domain onto another, but they do have their limitations. For example, it usually isn't possible to style the contents of the iFrame and you are therefore left at the mercy of a third party site. They also look pretty shonky if the third party site does down for whatever reason. Displaying large "page not found" statements on your page is quite unsightly.
There is a function in jQuery called load() that will use an AJAX request to load content from page onto another, and can even extract specific areas of the page and return only those parts. I thought I would run through some examples and then show how it is possible to display content from another domain on a page. Lets say we have a PHP file on the server that generates a random number, this would be the following very simple code.