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.

http://blogs.msdn.com/tom_laird-mcconnell/archive/2009/03/25/creating-an-ado-net-data-service-proxy-as-workaround-for-silverlight-ado-net-cross-domain-issue.aspx

We're hoping to add support for simple xdomain reques