Get Varnish to handle JSON-P requests for you

varnish-jsonp.vcl

backend default {
  .host = "127.0.0.1";
  .port = "8000";
}

# We go BACK to varnish to get it to generate an ESI template that 
# generates a JSON-P response.
backend jsonp_template_backend {
  .host = "127.0.0.1";
  .port = "8070";
}

# How the jsonp_template_backend dispatches to the ESI generating code:
sub vcl_recv {
  if (req.url == "/JSONP-ESI-TEMPLATE") {
    error 760;
  }
}

sub vcl_recv {
  # If URL includes callback=, rewrite to an ESI template
  if (req.url ~ "callback=") {
    set req.http.X-Callback = regsub(
      req.url, ".*[\?&]callback=([\.A-Za-z0-9_]+).*", "\1"
    );
    set req.http.X-ESI-Url = regsub(req.url, "&?callback=[\.A-Za-z0-9_]+", "");
    # Remove a trailing ?
    set req.http.X-ESI-Url = regsub(req.http.X-ESI-Url, "\?$", "");
    # Fix any accidental ?&
    set req.http.X-ESI-Url = regsub(req.http.X-ESI-Url, "\?&", "?");
    set req.url = "/JSONP-ESI-TEMPLATE";
    set req.backend = jsonp_template_backend;
    return (pass); # NEVER cache template, since it varies on X-Callback/ESI-Url
  }
}

sub vcl_fetch {
  # X-ESI: 1 from backend triggers ESI processing
  if (beresp.http.X-ESI) {
    remove beresp.http.X-ESI;
    esi;
  }
}

sub vcl_fetch {
  # X-JSONP-Server means we need to clean up the response a bit
  if (beresp.http.X-JSONP-Server) {
    remove beresp.http.X-JSONP-Server;
    remove beresp.http.Via; # Gets added again later on, but a bit less messy
    remove beresp.http.Retry-After;
    set beresp.http.Server = "JSONP-Server";
  }
}

# We're using a custom error here because it's the only way I could find to get # varnish to compose a custom response.
sub vcl_error {
  if (obj.status == 760) {
    set obj.http.Content-Type = "application/javascript; charset=utf8";
    set obj.http.X-ESI = "1";
    set obj.http.X-JSONP-Server = "1";
    set obj.status = 200;
    set obj.response = "OK";
    synthetic
      "<esi:include />" # Blank directive, needed to avoid this error:
                        # ESI_xmlerror: No ESI processing, first char not '<'
      "/**/"            # http://miki.it/blog/2014/7/8/abusing-jsonp-with-rosetta-flash/ 
      req.http.X-Callback
      "(<esi:include src=%22" req.http.X-ESI-Url "%22 />)";
    return(deliver);
  }
}

Thanks for the VCL. Really helped boost up our hit rates.

Note that this will return Content-Type=application/javascript;charset=UTF-8 in the header, which won't work in IE (Reference). Do remember to set it to Content-Type=application/javascript instead.

Just spotted this updated version for Varnish 3: https://gist.github.com/xdamman/7340863