I'm currently working with Moodle and trying to improve the performance of a local installation. One of the things I've noticed is that under load, a good deal of time in apache gets spend sending out static files associated either with themes or modules.
I may be mistaken here (sure others will say if so), but in your config.php file in your www root folder you specify:
would imagine (again educated guess here) that your CDN files could live in the:
$CFG->wwwroot = 'http://www.mysite.com';
$CFG->dirroot = '/home/mysite/public_html';
and your data files on your different server:
$CFG->dataroot = '/home/mysite/moodledata';
I've gotten the general sense that this might be more possible in 2.0, but it would save time to be able to achieve it today.