jQuery was built with extensibility in mind. If the core jQuery library can’t do what you want, chances are a jQuery plugin author has written a plugin that will handle your need, probably in as little as one line of code.
To include a plugin on your page, all you need to do is download the plugin .js file, include the jQuery library on the page, then immediately after, include your plugin on the page. Then, in either another .js file or in a script block on the page, you’ll typically need to call the plugin and provide any options that may be required.
Here is an example using the jQuery cycle plugin developed by Mike Alsup: