What is CDN?
Content Delivery Network is a technology that allow access to information based on the current user location. For example, if I am a user connected in Europe, the information I access will be located in a European server, whereas my coworker John Doe from the US will access the same information from an american server. The main goal of CDN is obviously to improve performance, as it takes less time to read (or write) data to a close server than to a distant one.
In the background, CDN requires that information is geo-replicated hover different zones, the critical point being how the information updated from some point is replicated asap in other locations.
CDN in Office 365
Office 365 Public Content Delivery Network (CDN) capability was designed to provide better performance with SharePoint Online pages. It is meant for accessing static data, like images, scripts and general files that are not usually modified.
CDN works effectively as a geo-distributed caching proxy, by caching the static data closer to the browsers requesting them.
Currently it works only with SharePoint Online, as there are referrer limitation on the CDN URL requests.
More information on how to set it up here in the Office dev website.