External JS libraries I have a few external js files that I call in my page, at the moment these are called via script tags in the header. 

I am tempted to pull these locally and include them in my themes script file to decrease the load time of the page. I know there is an overhead to keeping the scripts up to date but if it decreases the total load time of the page it may be worth it. 

Is there a good practice for this? Should I keep them external or is it good to include them in the drupal JS structure?
I think it highly depends on what the script is. There are definitely advantages to using third party scripts rather than including them locally. In most cases, I'll try to use the google Library API (http://code.google.com/apis/libraries/) when possible for things like swfobject, webfont loader, and the like. The advantage here is that clients may already have these libraries cached, giving a performance increase over hosting them locally. For situations where there is not a widely used third party host for scripts, I'll usually add them to sites/all/libraries/$library_name and include them locally, so you can take advantage of Drupal's ability to aggregate and minify JS.