You will need to enter in .domain.com in Magentos admin->system->configuration->web->cookie domain. Like erickthered mentioned, you will need to make the cookie available to your other subdomains in order for it to be read. This is the same with all web applications.
Reference: http://www.magentocommerce.com/wiki/modules_reference/english/mage_adminhtml/system_config/edit/web#session_cookie_management_field_descriptions
