Depending upon your preferred method of modifying PHP variables (Apache's config, .htaccess), change the session.cookie_domain value to be a consistent value.
I have multiple sub-domains, and each VirtualHost section in the Apache config file contains the following line:
php_value session.cookie_domain mydomain.com
The syntax should be similar if you make the changes in a .htaccess file.
Updated for bobert5064's comment:
For multiple domains (ie domain1.com, domain2.org), I think it is only necessary to choose a common domain name (ie domain1.com). I have never tried this, so I cannot verify that it works, but the logic seems accurate.
There is also a method to set the variables direction in PHP described at http://us.php.net/manual/en/function.session-set-cookie-params.php. The documentation makes no reference to the ability or inability to set cookies on a different domain.
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