I agree with you totally. When putting you assets on subdomains, you have to make a choice between parallel downloads and dns lookups. We will shortly be doing this. Check out http://www.magicofflight.com, a website on aviation we are creating.
A Content Delivery Network (CDN) is a network of servers in different geographical locations. Each server has a copy of a site's files. When a visitor to your site requests a file, the file is delivered from the nearest server (or the one that's experiencing the lightest load at the time).
This setup can have a significant impact on your page's overall performance, but unfortunately, using a CDN can be pricey. As such, it's probably not something you'd do for a personal blog, but it may be useful when a client asks you to build a site that's likely to experience high volumes of traffic. Some of the most widely known CDN providers are Akamai and Amazon, through its S3 service.
There are some non-profit CDNs in the market; check the CDN Wikipedia article to see if your project might qualify to use one of them. For example, one free non-profit peer-to-peer CDN is Coral CDN, which is extremely easy to integrate with your site. For this CDN, you take a URL and append "nyud.net" to the hostname. Here's an example:
Host Assets on Different Domains but Reduce DNS Lookups
After your visitor's browser has downloaded the HTML for a page and figured out that a number of components are also needed, it begins downloading those components. Browsers restrict the number of simultaneous downloads that can take place; as per the HTTP/1.1 specification, the limit is two assets per domain.
Because this restriction exists on a per-domain basis, you can use several domains (or simply use subdomains) to host your assets, thus increasing the number of parallel downloads. Most shared hosts will allow you to create subdomains. Even if your host places a limit on the number of subdomains you can create (some restrict you to a maximum of five), it's not that important, as you won't need to utilize too many subdomains to see some noticeable performance improvements.
However, as Rule #9 states, you should also reduce the number of DNS lookups, because these can also be expensive. For every domain or subdomain that hosts a page asset, the browser will need to make a DNS lookup. So the more domains you have, the more your site will be slowed down by DNS lookups. Yahoo!'s research suggests that two to four domains is an optimal number, but you can decide for yourself what's best for your site.
As a general guideline, I'd suggest you use one domain to host HTML pages and two other domains for your assets. Here's an example:
www.sitepoint.com - hosts only HTML (and maybe content images) i1.sitepoint.com - hosts JS, CSS, and some images i2.sitepoint.com - hosts most of the site's images
Different hosting providers will probably offer different interfaces for creating subdomains, and ideally they should provide you with an option to specify the directory that holds the files for the subdomain. For example, if your canonical domain is www.sitepoint.com, and it points to /home/sitepoint/htdocs, ideally you should be able to create the subdomain i1.sitepoint.com (either via an administration control panel or by creating a symbolic link in the file system) and point it to the same folder, /home/sitepoint/htdocs. This way, you can keep all files in the same location, just as they are in your development environment, but reference them using a subdomain.
However, some hosts may prevent you from creating subdomains, or may restrict your ability to point to particular locations on the file system. In such cases, your only real options is to physically copy the assets to the new location. Don't be tempted to create some kind of redirect in this case -- it will only make things worse, as it creates two requests for each image.
If your hosting provider doesn't allow subdomains at all, you always have the option of buying more domains and using them purely to host assets -- after all, that's what a lot of big sites do. Yahoo! uses the domain yimg.com, Amazon has images-amazon.com, and SitePoint has sitepointstatic.com. If you own several sites, or manage the hosting of your client's sites, you might consider buying two domains, such as yourdomain-i1.com and yourdomain-i2.com, and using them to host the components for all the sites you maintain.