Another modern method of solving this problem is Cross Origin Ressource Sharing.
HTML5 offers this feature. You can "wrap" your XMLhttp request in this CORS_request and
if the target browser supports this feature, you can use it and wont have no problems.
EDIT:
Additionaly i have to add that there are many reasons which can cause this Issue.
Not only a Cross Domain Restriction but also simply wrong Settings in your WEB.CONFIG of your Webservice.
Example IIS(.NET):
To enable HTTP access from external sources ( in my case a compiled Phonegap app with CORS request ) you have to add this to your WEB.CONFIG
Another scenario:
I got two webservices running... One on Port 80 and one on Port 90. This also gave me an XML HTTP Request Error. I even dont know why :). Nevertheless i think this can help many not well experienced readers.