I guess you're looking at reducing the page load for a first-time visit or uncached request, meaning the client has to download all resources.
Reducing load time of jQuery
Use third-party CDN-hosted jQuery
Most users already have jQuery cached due to the widespread usage of third-party CDN-hosted jQuery libraries, which means that you can benefit from that as well by using the same resource. The most popular by far is Google Hosted Libraries, and another one is jQuery's own CDN.
Using third-party CDN-hosted jQuery is as simple as adding a script tag:
<script src="//ajax.googleapis.com/ajax/libs/jquery/1.10.1/jquery.min.js"></script>
Notice: Wondering about the omitted protocol/scheme in the url? See Protocol-relative urls by Paul irish.
The only downside of using a third-party CDN is that any disruption of the service will also affect your site/ad. However, it's much more likely that your hosting service is disrupted then any of the above mentioned CDN:s.
Customized build of jQuery
If you for some reason don't want or can't use a third-party CDN-hosting you can also customize your jQuery build to only contain the parts you use/need for your project. To simplify the build process, there's this great tool called jQuery Builder that you can use.
Alternatives to jQuery
jQuery is a pretty heavy library, and some consider it badly suited for mobile devices. There's alternatives out there that aim to be smaller and more light-weight, such as Zepto.js, Snack.js and $dom.
It's important to note that not all features and browser support will be present in the alternative libraries, so you need to make sure you get what you need.
What about the rest of my code?
You should always make sure all of the source code is minified and compressed (i.e. gzipped) when served from a production environment. You should also strive to have as few requests as possible, so concatenating multiple files into one is a great way to both lower the amount of requests and better benefit from caching. This can be done for JavaScript as well as CSS files.