The problem with cookie integration with bbPress is that WPMU uses the domain, including the sub-domain, to create the COOKIEHASH using MD5:
define('COOKIEHASH', md5(get_option('siteurl')));
in bbPress, the COOKIEHASH is also created using MD5:
define('BB_HASH', $bb->wp_cookies_integrated ? md5($bb->wp_siteurl) : md5($bb->uri));
For your main blog, get_option('siteurl') will return something like http://mymainblog.com. bbPress will use wp_siteurl, which should also return http://mymainblog.com.
Note: it gets more complicated if you actually setup another VirtualHost in Apache just for your forums, that gets loaded before your main WPMU VirtualHost, like http://forums.mymainblog.com
The problem exists when a user logs in through their own blog, and get_option('siteurl') returns the subdomain, like http://firstblog.mymainblog.com. bbPress still uses the wp_siteurl, and now your MD5 hashes will never match.
The solution: HARDCODE your COOKIEHASH. Use MD5 to get a good hash (from your domain or whatever you choose), then define COOKIEHASH in both WPMU wp-settings.php and bbPress bb-settings.php.
[edit] You need to hardcode wp-settings.php COOKIEHASH and bb-settings BB-HASH to the same value.[edit]
Possilble downside: users that have successfully logged in to their own blog within the domain will appear to be logged in to all the other blogs as well, but will have no rights. But the login to WPMU and bbPress will be seamless - as a single signon.
See my enhancement ticket to WPMU here:
http://trac.mu.wordpress.org/ticket/775
See my discussion on bbPress forums here:
http://bbpress.org/forums/topic/wp-261-integration-success-with-10-alhpa-2
While users that are created in bbPress are given default privileges according to the role map in bbPress, the same mechanism does not exist to create default privileges in bbPress when signing up in WPMU. For slick integration on WPMU signup: dowmload my plugin for WMPU that will enable 'member' level privileges in bbPress when a user is created in WPMU (as will be the case in most installs).
http://bbpress.org/plugins/topic/wpmu-enable-bbpress-capabilities/.
Let me know what you think!