Should I download scripts from a CDN or bundle everything into one script

Depending on the size of the application, it might be worthwhile to modify your app to use modules with an AMD loader, such as RequireJS.

By moving your code into separate modules and letting an AMD loader manage the dependencies, your code should become more organized and prevent the issue of you having to manually load files. You can use this for files that are hosted on your server, as well as files being served from a CDN.

Also, here's an article explaining how to use RequireJS with an ASP.NET app:

• Using Require.js in an ASP.NET MVC application

For complex applications it makes sense to make the split you suggested. Your common bits, especially external libraries, will change much less often than application code. So they are prime candidates for caching. Bundling everything together prevents that. On the other hand they add extra HTTP requests. Which would make the initial experience a little bit less nice. A common pattern is to have external libraries in one bundle and application code in another. Especially when the latter is smaller and there's a lot of sharing between pages and views, it makes sense.

This is a moving Target however. Today's best practices are tomorrow's anti-patterns. The advice changes in a world where http/2 is common, or when client side modules are supported by all major browsers.