Microsoft Windows 2003 R2 introduced a product called Active Directory Federation Services (ADFS) out of the box that fits your description. ADFS provides single sign-on between multiple websites. This includes sites that are affiliated to your own but that you don't necessarily trust to open up an authentication API. ADFS integrates with AzMan for role based authorization and can authenticated against Active Directory, ADLS, etc...
If all you are looking for is basic single-signon this this solution is way overkill. Basically all they are doing are checking for an authenticated session and if one isn't found doing a 307 redirect to the federation server (authentication website) where the authentication form sits. Once a user logs in a cookie is set on the federation server and the user is redirected back to the original site with the sessionid attached as a URL variable. It is up to that site to retain a copy of the sessionid as cookie for its own domain.
I just recently went down the route of evaluating a number of SSO tools and found that if all I really wanted was single-sign on it was just way easier to roll my own solution similar to the one above.