In this common scenario a large amount of network bandwidth can potentially go unused.
var script = document.createElement("SCRIPT");
script.src = src;
In this scenario IE and Firefox will download both scripts but Internet Explorer will also execute them in the order they finish downloading in whereas Firefox downloads them asynchronously but still executes them in the order they are attached in the DOM.
In Internet Explorer this means your scripts cannot have dependancies on one another as the execution order will vary depending on network traffic, caches, etc.
In Firefox you can mostly get away with keeping dependancies on Script1 from Script2 with the caveat that if the user presses stop after Script2 has finished downloading but Script1 has not, Firefox will execute Script2 and abort downloading Script1. Ensure that Script2 can properly handle Script1 failing to load.
Using document.write produces the same effect in both Internet Explorer and Firefox: the scripts are downloaded in parallel but executed in the order they're written to the page. The same caveat above about the user stopping the page after Script2 has finished downloading before Script1 has applies.
This technique can be used to download more than two files at the same time as long as more than 1 hostname is used. IE will only open 2 HTTP connections to a named server in order to be a good client (Firefox will open 4) but you can easily work around this by creating additional domain names like scripts1.example.com, scripts2.example.com etc that point to the same host. At some point you will see diminishing returns and possibly even slowdowns from trying to download too many files at once so don't go too crazy with parallelizing.
Edit: Noted that Firefox will open 4 connections per named host by default.