Ensuring 'common' ground on my devboard : powering externally, + JTAG + VirtualCom with USB
JTAG has ground pins, which most likely internally are connected to USB grounding of your PC. USB has shield and ground, that should be connected to the same ground as JTAG. Your PC is grounded through the power supply to Earth. The external supply most likely is not floating either, meaning, that it's connected to the same ground as PC. This will create a ground loop from your supply through USB-PC-Ground and you might see extra current consumption. 

Generally digital electronics like that don't have too much trouble with such setups (I have such 2 setups next to me - JTAG/USB on prototype board, which is powered by an external PSU). It becomes an issue with sensitive analog measurement circuits, but that's more board layout issue IMO. Also weird things start to happen, if you try to power your board from USB and external supply at the same time. That's when things start to go pop.