The same-origin policy is a fundamental part of the security infrastructure of the web. It prevents a web site's scripts from accessing and interacting with scripts used on other sites. This helps keep your data safe because if your bank's website gives you some data, it can only be accessed by your bank's website, and not by scripts from other websites.
That's a nice theory, it'd be a shame if some evidence happened to it.
In the real world, attackers have found ways to get around the same-origin policy to gain access to data they're not supposed to be able to access. For example, a web programmer might mistakenly include some user-provided input verbatim in the HTML of a webpage -- perhaps a username. Well, if your username is