Tom Laird-McConnell has created a nice post showing how to mid-tier proxy to enable calling data services across domains. His proxy supports CRUD operations and $expand.
We're hoping to add support for simple xdomain requests (ie. limited auth support, etc) in the near term and expand that support over time to get closer to parity with what we have today for same-domain requests. To help us prioritize this work we are very interested to hear how many people would use such "full" cross domain support with data services if it were available.
ADO.NET Data Services, Program Manager
PingBack from http://microsoft-sharepoint.simplynetdev.com/proxy-to-enable-cross-domain-requests-when-using-silverlight-2-and-data-services/
I'd like to see at least full cross-scheme support. My Silverlight app is served via http; with the proper clientaccesspolicy.xml in place I can access an https WCF service on my domain but not an https Astoria service because of browser security restrictions. I can't serve my app via https for other reasons, so I'm stuck with unsecured Astoria data or a nasty kludge/proxy.
(Phani Raj's blog mentions that the Astoria team rolled its own XMLHttpRequest-based pipe because of poor networking support in SL when the project started. Will a future Astoria release correct this inconsistency? It seems odd to continue down a separate path now that SL networking is more robust...)
Full cross domain support for Silverlight would be my #1 request for Astoria