Or just the Cross-Domain-AJAX GUI for short :P

I made this plugin to make it easier to add the proper headers to your WordPress site so you can do cross-domain AJAX requests that work.

Are you trying to get information from your WordPress site but you have two different domains and keep getting the Access-Control-Allow-Origin error? This plugin adds the correct headers to allow you to access your WordPress site using AJAX from any other domain.

Simply install the plugin and add a list of domains under Settings > General then click save. WordPress will then start sending the correct headers to allow you to run cross-domain ajax with no problem.

The plugin is now open source and hosted on Github so go ahead and Download the WordPress Cross-Domain AJAX GUI Plugin for free.

UPDATE: The plugin has now been updated to version 3.0 which includes a number of bug fixes, being compliant with the W3C CORS standard, changed naming conventions to fit with WordPress standards and some better documentation.