Someone is always asking this question. It can be done, but it is very difficult.
I've been thinking about this since the question comes up alot and the solution that I've come up with is this (untested).
1 - create your own session handler, the sessions documentation shows how to do this. I prefer to use databases so that would probably be easiest.
2 - make sure both domains use this same session handler.
3 - pass the session ID to the second domain as a GET parameter.
That should work as long as both domains access the session data from the same database. While the second domain can't read the cookie to get the session ID (normal problem that people want to work around), it can be set up to access a database on another server. So if everything is accessing the session data out of the same database then the only problem that needs to be overcome is to get the session id number to the second server.
Like I said I haven't tested this, I've only been thinking about it. If you build it and it works let me know I'd be interested in hearing about it.
