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XMLHttpRequests require CORS to work cross-domain. Similarly for web fonts, WebGL textures, and a few other things. In general all new APIs seem to have this restriction.
Why?
It's so easy to circumvent: all it takes is a simple server-side proxy. In other words, server-side code isn't prohibited from doing cross-domain requests; why is client-side code? How does this give any security, to anyone?
And it's so inconsistent: I can't XMLHttpRequest, but I can <script src> or <link rel> or <img src> or <iframe>. What does restricting XHR etc. even accomplish?