The bookmarklet first loads jQuery from the Google Ajax libraries, then that script. Both should be cached by the browser so that upon the next use of the bookmarklet it should not need to ask a server.
Just a little note: I read hacker news from hackerne.ws, and you currently have it domain restricted to news.ycombinator.com. Not a big deal, but why not just remove the domain restriction? Seems like more trouble than it's worth.
Other than that, fantastic. I can't believe you made this - I was honestly thinking to myself earlier today that HN needed a collapse comment link.
I saw in the server referrers that people were trying it on other pages where it has no effect, or might have strange effects, so I think it's good to have it there to be sure people understand where it's to be used :)
I have added the hackerne.ws domain to the check and also added a no-domain check bookmarklet to the blog post.
I've written a greasemonkey script that does the same thing. Unfortunately the test page I used didn't have things like downvoted comments and a few edge cases that caused it to fail. It would be much easier if comments were given a unique class name or id.
In order to be able to easily view the second-ranking (top-level) comment I wrote a small bookmarklet to achieve just that. Enjoy :)