Most of the jQuery and jQuery UI examples that I find have the scripts in the header but according to the YSlow performance rules it is best to put scripts at the bottom. That way the UI gets renders ASAP with the javaScript getting picked up later for operations. Unfortunately, it seems that several jQuery UI components require their javaScript to render properly.
Are there any good example sites that show best practices to maximize load performance with jQuery and jQuery UI?
Yes. Html5Boilerplate is THE site you need to go to for ANY and ALL best practices. Paul Irish and the H5BP team have compiled all the best practices over the past 3 years or so. There is video, documentation, and code over there, so DO check it out.
At the office, I've incorporated as many of their best practices as I possibly can. When I'm not at the office, for personal / side jobs, I use their template.
Just as Paul shows in his video, the YSlow grades SKYROCKET to the top when using their best practices.