The recent article about using an ajax subscription form is great, but you actually could create an ajax version with no need for a proxy using jsonp.
Data can then be sent back by firing a defined function.
So there you go. Ajax subscription with no proxy as soon as Campaign Monitor add support for jsonp
 forgot the link to the article mentioned above - http://www.campaignmonitor.com/downloads/ajax-subscription-form/
Thanks for the heads up Harry. We'll definitely take a look at this, and potentially consider it for a future update.
As an addition Mathew (one M, not seen that for a while),
It would obviously not be possible to use the current api key method. A different system for authentication would be needed to prevent anyone having access to your api key and therefore api methods for your account.