As far as I know, PHP doesn't have direct equavilents of "application" and "domain" variables. "user" variables can be passed (via url or forms) or put into the session management object (php4 or phplib).
For persistant application or domain variables you will have to roll your own scheme (not that difficult to do actually, especially if you have a database server to store them in.)
Cold Fusion offers these types of variable management built in as well.