On the Lullabot.com blog there's a recent post from Nate Haug showing how you can set up a single sign on with Drupal even if your user crosses multiple sub-domains on your site. The technique is particularly handy in that it doesn't require any extra modules to be installed to make it work.
With the multitude of single sign-on modules out there for Drupal, it's easy to miss the fact that Drupal has a built-in single sign on mechanism already. No modules, no configuration, just 20 easy lines of PHP in your site's settings.php file. This solution works for a lot of clients, but the set of requirements is pretty specific as to when you can use this approach.
To make it work all sites must be on the same domain (just sub-domains of it), be using MySQL as your backend database and, if you're using clustered hardware, they need to be on the same cluster to be able to make the cross-database queries. Since Drupal can prefix tables so the settings for each site are split out, you can create a "shared table" by making a few changes in your master and slave configuration.