I have created a simple SignalR hub inside a console application:
class Program
{
    static void Main(string[] args) 
    {    
        using (WebApp.Start<Startup>("http://localhost:1968"))
        {
            Console.WriteLine("Server running!");        
            Console.ReadLine();    
        } 
    } 
}
public static class UserHandler
{
    public static HashSet<string> ConnectedIds = new HashSet<string>();
}
[HubName("echo")]
public class EchoHub : Hub 
{ 
    public void Say(string message) 
    { 
        Trace.WriteLine("hub: "+message);
        Clients.All.AddMessage(message);
    }
    public override Task OnConnected()
    {
        UserHandler.ConnectedIds.Add(Context.ConnectionId);
        return base.OnConnected();
    }
    public override Task OnDisconnected()
    {
        UserHandler.ConnectedIds.Remove(Context.ConnectionId);
        return base.OnDisconnected();
    }
}
class Startup 
{ 
    public void Configuration(IAppBuilder app) 
    { 
        app.MapSignalR();
    } 
} 
When I try to connect this from a Silverlight App, it succeeds:
static Microsoft.AspNet.SignalR.Client.HubConnection signalR { get; set; }
public static Microsoft.AspNet.SignalR.Client.IHubProxy signalRhub { get; set; }
public static void StartSignalR()
{
    var url = "http://localhost:1968";
    signalR = new Microsoft.AspNet.SignalR.Client.HubConnection(url);
    signalR.Received += signalR_Received;
    signalRhub = signalR.CreateHubProxy("echo");
    signalR.Start().Wait();
    signalRhub.Invoke("Say", "hub invoked");
}
My next step is to connect the SignalR hub from jquery:
<script src="../Scripts/jquery-1.6.4.js"></script>
<script src="../Scripts/jquery.signalR-2.1.0.js"></script>
<script>
    $(function ()
    {
        var connection = $.hubConnection("http://localhost:1968");
        connection.start()
            .done(function () {
                console.log('connected');
                connection.send("success?");
            })
            .fail(function (a) {
                console.log('not connected'+a);
            });
    });
</script>
When I try to run this script, it gives the error:
"XMLHttpRequest cannot load localhost:1968/signalr/negotiate?clientProtocol=1.4&_=1404978593482. No 'Access-Control-Allow-Origin' header is present on the requested resource. Origin <code>http://localhost:55282</code> is therefore not allowed access."
Why can I connect to the hub from my Silverlight page (hosted in localhost:3926)
and fails it when I run the jquery script (hosted in localhost:55282)?
What can I do to get a working connection between my jQuery and SignalR hub?
Change
$(function ()
    {
    var connection = $.hubConnection("http://localhost:1968");
    connection.start()
        .done(function () {
            console.log('connected');
            connection.send("success?");
        })
        .fail(function (a) {
            console.log('not connected'+a);
        });
});
to
$(function ()
{
var connection = $.hubConnection("http://localhost:1968");
var hub = connection.createHubProxy("echo");
hub.on("AddMessage", Method);
connection.start({ jsonp: true })
            .done(function () {
            console.log('connected');
            hub.say("success?");
        })
        .fail(function (a) {
            console.log('not connected'+a);
        });
});
function Method(messageFromHub)
{
alert(messageFromHub);
}
and
class Startup 
{ 
    public void Configuration(IAppBuilder app) 
    { 
        app.MapSignalR();
    } 
} 
to
class Startup 
{ 
    public void Configuration(IAppBuilder app) 
    { 
        app.MapSignalR(new HubConfiguration() { EnableJSONP = true });} 
} 
It should do.
app.MapSignalR(new HubConfiguration() { EnableJSONP = true });} 
and
connection.start({ jsonp: true })
Will allow cross site request
RPC on Server in SignalR with createHubProxy():
Thanks to the answer from Vishal Ravlani
But for me
hub.say("success?");
doesn't work! (Does it work for you?)
I have to write:
hub.invoke('say','success?');
And SignalR has automatically detected CrossOrigin on Client.
On Server I have used:
app.Map("/signalr", map =>
            {
                map.UseCors(CorsOptions.AllowAll);
                map.RunSignalR();
            });
which was described on: http://www.asp.net/signalr/overview/signalr-20/hubs-api/hubs-api-guide-javascript-client#crossdomain
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