I am trying to set up the following:
auth.example.com
sub1.example.com
sub2.example.com
If the user visits sub1.example.com
or
I get the idea that you don't want something like OpenID, like Joel is suggesting, but that you want to have access to the session data across multiple domains.
The only possibility that I can think of as a solution for that problem is to store the sessiondata in a database, and pull it out of that database.