With the core Jms multisite, you can do that for the slave site that are in subdomain or subdirectories.
(ie. subdomain.domain.com and domain.com/subdirectory)
In joomla 2.5, remain logged on subdomains require that you setup the "global configuration" with the "cookie domain".
In Joomla 1.5, the "cookie domain" is automatically added by JMS as that didn't exists in joomla 1.5.
In the case where you want to remain logged with different domain, you need the "Single Sign-In for domains".
www.jms2win.com/en/joomla-multisite?page...51&category_id=1
See also the demo
slave1.mywebsite2win.org/