I have written up a brief note to explain CORS, JSONP, CORS proxies.
Here is the link to the FCC post: http://forum.freecodecamp.com/t/cross-domain-error-i-thought-im-using-jsonp-so-whats-wrong/11012/6?u=jaytsecan
Hoping this helps as I see a lot of people having problems with AJAX requests.