You forgot option 3: one big file from CDN. It's usually best to have as little requests as possible, because less than the network speed (kb/s), network latency is a problem.
But, if your code changes a lot (and users often return), it might be a reasonable idea, to concatenate all your libraries and plugins into one file and your own code into another, instead of having 1 big file all together. This way, if you make a small change, it's not 1 big file that changes and has to be downloaded again, but a user will only need to get your script file and not the (unchanged) libraries again. And those outweigh the custom code by 10:1 in my experience.
Also, if you use a CDN link for jQuery, best case it's already in the users cache.
In the end I'd also advise you to test the different options (Chrome DevTools' network tab). I had a case where a CDN link was a perceivable slower than a "local" link (maybe due to my location, Australia).