>Well, I was assuming the sites were jointly hosted (so the cookies could all be in one database), or else they're using some matching server-side solution, like a web service that does something to share the info.

This is exactly what I have here. On the Member.dbf table, I have a field for each session cookie for all domains I have. I do have some automatic redirection to create the cookie on more than one site when needed, but I don't like this mechanism right now as it requires an additional round trip. Then, if the user hits back on the browser, he is forwarded back to the page he was and not to the first page.