I've just checked in a change to wp-settings.php so that cookies are visible to a whole domain, not just the hostname they were set on.
What this means in practical terms is if you are using VHOSTS then you can go to another blog on your domain and be logged in. WHen logging in through the main blog you'll be automattically redirected to your own dashboard and logged in!
Unfortunately, this has an implication for security. You should be certain that untrusted Javascript cannot run on user blogs. Javascript can be used to steal cookies very easily. Once someone gets your cookies it's very easy for them to login as you and do bad things.
This has always been the case for subdir blogs because they're running on the same hostname.