Marco's answer is correct. I developed a Silverlight web part displaying information retrieved by a HTTP service from other domain. You'd have to deploy either clientaccesspolicy.xml (new from MS, if you use just Silverlight) or crossdomain.xml (originally from Adobe, if you use both Flash and Silverlight) to the root of the web application you access in the other domain.
XMLHttpRequest; I didn't need
XDomainRequest in IE. To access SharePoint, you could expose the functionality you need as a REST WS (developed and deployed as a SharePoint solution) and use