What is best way to integrate external jQuery plugin?
Perhaps the simplest way is to add it to your theme.info file

e.g, in mytheme.info

scripts[] = js/jquery.cycle.min.js


That will add it globally sitewide.

For more selective control, use drupal_add_js

e.g, in template.php

/**
 * Implements hook_preprocess_html
 */
function mytheme_preprocess_html($variables){

  $valid_path = ''; // TODO, check arg(), current_path() etc.. for valid_path
  if ($valid_path){
    drupal_add_js(drupal_get_path('theme', 'mytheme'). '/js/jquery.cycle.min.js');
  }

}


An advanced method is to use the Libraries API and hook_libraries_info however any of these methods will work.