Why can’t you bundle them and place them are the CDN? It should hardly be a decision of one or the other?
If you have to choose one or the other, it depends on how many .js files you are including. For a small number of files, I’d suggest that a CDN would be quicker, where-as for a greater number of files, a bundle of .js files would definitely be quicker. Where the switch-over would be, is something for you to experiment with.