What the hell? Why on earth is everyone here advocating document.write()? Fairly certain we've moved beyond this as standard practice by this point; document.write isn't even valid if you're in an XHTML setting.
The best way to do this would be something like the following (also here, for better highlighting/parsing: https://gist.github.com/767131):
/*  Since script loading is dynamic/async, we take
    a callback function with our loadScript call
    that executes once the script is done downloading/parsing
    on the page.
*/
var loadScript = function(src, callbackfn) {
    var newScript = document.createElement("script");
    newScript.type = "text/javascript";
    newScript.setAttribute("async", "true");
    newScript.setAttribute("src", src);
    if(newScript.readyState) {
        newScript.onreadystatechange = function() {
            if(/loaded|complete/.test(newScript.readyState)) callbackfn();
        }
    } else {
        newScript.addEventListener("load", callbackfn, false);
    }
    document.documentElement.firstChild.appendChild(newScript);
}
if(a) {
    loadScript("lulz.js", function() { ... });
} else {
    loadScript("other_lulz.js", function() { ... });
}
If you have jQuery or a similar library on the page, you can jack out my loadScript function and insert their appropriate function (ala $.getScript, etc).