Besides JSONP, another way that is commonly used is to create a "proxy" file on your server in php / python / ruby / some-server-language. Your "proxy" script will receive an optional URL with some parameters and perform a curl in this domain.
Thus, an example data stream would be:
1) an ajax call comes from a client accessing your domain. An ajax request indicates that yourdomain.com/proxy.php is passing the URL as a message or receiving a variable.
2) The PHP script takes the url and performs a curl, receives any data returned by the call, echos or dies or returns this data in some other way.
3) The data is transferred to the ajax caller on yourdomain.com, now you can use the specified data.
Although, from your description, it just sounds like you just want an iframe :)
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