I haven't tried completely distinct WPMU sites (each offering blogs of their own) as I've been playing with blogs for existing domains with their own sites.
The steps I take for the two I've setup so far are:
1. edit the Domain server for the domainname you are interested in and add a CNAME record for something like blog.domainname.com which points to your WPMU installation.
eg. I added the CNAME blog.clearskys.net to the clearskys.net DNS settings and set it to point to cafespain.com
2. Create a blog in your WPMU installation - it doesn't matter what you call it for now - use the existing admin system to create it.
3. Add a record in wp_site with the the domain of the new blog. eg. in this case clearskys.net and set the path to /
4. Duplicate the wp_sitemeta entries for your new site (insert into wp_sitemeta (site_id, meta_key, meta_value) SELECT x, meta_key, meta_value FROM wp_sitemeta WHERE site_id = 1 (change x to the id of the new site record created at step 3.
5. Modify the record for the blog you created in wp_blogs and change the domain to the CNAME you created in step 1 (in this case blog.clearskys.net) and change the site_id to the id of the site record in step 3.
6. Modify all the records in wp_xx_options (where xx is the record number of your blog in step 5) that have the domain path, so that it is the same as that set in step 5 (blog.clearskys.net).
7. Wait a bit for the DNS changes to propagate and access the website at blog.clearskys.net, voila one wordpress blog, with it's own domain running off an installation of WPMU at a different one.
It should only take a short step to have a http://www.domainname.com to work just as easily.
Hope those steps help someone, i've been working on it all afternoon.