Using a properly configured CDN will not have any negative effects on SEO. It can have positive effects on your rankings by offering faster page loads.
With Google's current system, you would not see a SEO benefit per se. If your current site is deemed slow by Google, you could have your current speed penalty lifted.
Moving to a CDN will surely provide a better user experience. Google is constantly adjusting it's algorithms in chase of the best user experience, so this is a chance for you to get ahead of the game. It is reasonable to think in the future Google may consider site speed as a ranking factor.
Two other suggestions regarding setting up a CDN:
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you need to be very conscious of your cache settings. You could make a change on your site and users will not see the change if you do not ensure that change is propagated throughout your CDN
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try to include all files which would benefit from a CDN. I have seen some sites just add their videos and image files to the CDN. Custom Javascript, CSS files and so forth can all benefit from CDN. PageSpeed and YSlow are two great tools for optimizing page loading times.