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MathJax doesn't (yet) have support for any diagram package (like xypic or tikz).
If you're talking about a picture diagram, I think the easiest thing to do is to take a screenshot, upload the image to some free image hosting site and include a link (as I did in this question).
If you're talking about a commutative diagram, I usually make the diagram in an array (as in this question). If you need to draw a more complicated commutative diagram with bending arrows and other fanciness, it's probably easiest to resort to the screenshot method.
Are there any plans to ever include support for a diagram package in MathJax? It seems extremely difficult without server side rendering. Perhaps one day we could have an "extended math mode" on MO that did the rendering server side.
When we contacted the MathJax folk (just over a year ago), it sounded like implementing some subset of xypic was in the long-term plan. I don't know of any concrete plans yet, but I'm not especially in the know. There are certainly bigger fish to fry first, like implementing a cache.