WordPress MU

can anyone pls tell me if with a MU install its possible to have blog.domain1.com, blog.domain2.com

all I can find is that it allows
Sub-domains (like blog1.example.com, blog2.example.com)

Sub-directories (like example.com/blog1, example.com/blog2)

possible to setup with modrewrite or is there a gotcha I need to look out for ?

Edit: all domains are on the same server

Yes, you want either a Multi-site management plugin, or a domain mapping plugin. They work differently but the conclusion is pretty much the same thing you are after.