I think there have been a few posts about setting up a homebrew CDN elsewhere in the forums (search for "CDN"). In general, though, people seem to either forgo it and host their assets on their normal web servers, or use a third-party service. Amazon
CloudFront and Rackspace
Cloud Files are two name-brand possibilities.
It pretty much comes down to cost: for the amount of data you're going to push, and the quantity you're going to store, will you save that much money doing it yourself, vs. outsourcing it? Probably not.
(This doesn't mean "don't use Linode", of course... just because Linode sells VPSes and a few other companies sell VPSes and a CDN doesn't necessarily mean going with the latter group for VPSes is a better deal (or even a good idea). My "real" job runs on a collection of Rackspace Cloud Servers yet uses Amazon S3 and CloudFront for asset storage/delivery, so even if you DO go with VPS.net, their CDN might not be for you.)
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