If all your domains connect to the same database, you MIGHT be able to keep the user signed on with some sort of method that captures the IP address, browser version, operating system, etc. and then do lookups on that information on each site from that same central database and then restore the user login on the new domain.
That being said, it is still possible to have 2 users with the same IP address and the same browser/OS combination, so even that isn't really a truly secure method. With the domain limitation on cookies, I'm not sure this is possible to do dynamically.
I suppose one possible option would be to append all the links to your other sites with some sort of query string variable that would restore their session information if that is set when they first enter the site, but you're still going to have some sort of central database to store all the session information that each site will have access to.