It's probably faster to serve them off your own server due to HTTP keepalive.
Sure, making a new connection to google's CDN might be faster than making a new connection to your server, but it's definitely not going to be faster than sending a little more data over an existing connection. Not to mention the extra DNS lookup.
This is assuming that the script file and the page it's included in are coming off the same server. Most people who are tweaking performance at this level have probably already separated the serving of static and dynamic content.
Sure, making a new connection to google's CDN might be faster than making a new connection to your server, but it's definitely not going to be faster than sending a little more data over an existing connection. Not to mention the extra DNS lookup.