CORS is for ajax requests or flash requests that flash wouldn't normally allow. For example, if there is no cross-domain policy for domain x, and you retrieve an mp3 file from there via flash for playback, flash will not allow you to read the id3 tags of the mp3 file. For ajax, you flat out cannot make the request if the target server doesn't have a cross-domain policy that allows your domain to make requests.
First of all you should be aware that CORS is supported by the following browsers: Internet Explorer 8+, Firefox 3.5+, Safari 4+, and Chrome. Please note that IE7 and older versions of Firefox and Safari doesn't support it at all. But event IE8 has some limitations - it doesn't support credentials and "preflight" requests to be sent to the server.
In addition, your server should be ready for CORS requests, i.e. Some extra work on the server should be performed as well.
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