We could host these assets anywhere that we can be sure that our users will be able to access them, for example, a public website. But best practice is to use a Content Delivery Network or CDN. These are commercial hosting services that ensure that users download files from servers that are physically close to them and have high bandwidth Internet connections. In some cases, for example, popular JavaScript libraries, the user's browser may already have a cached version of the file avoiding the need to download it altogether.
We'll start with the SharePoint Online-based CDN, as it's probably easier to set up for developers, and often a common approach for serving assets.