When both the web server and browser support CORS, a proxy is not required to do cross-domain requests to get around that same origin policy. CORS both simplifies application development and provides a performance boost. Development is simplified because it is no longer necessary to maintain a proxy page on your server. The performance boost comes from no longer using a proxy page. Instead of a web app sending a request back to its server, waiting for the server to access another resource or service, and then interpreting the result, the app just accesses the resource or service directly. Eliminating the server as a middleman makes apps faster and frees up resources on the app’s server.
While additional server side configuration is required to use CORS with a 9.3 or 10.0 ArcGIS Server instance, 10.1 instances of ArcGIS Server will support CORS out of the box.