Most of my nucleus blogs are on subdomains and I have never been able to get the login/cookie thing working for me. Today I finally figured out a solution that actually seems to work - fingers crossed! - so I thought I'd share it.
The solution listed here http://faq.nucleuscms.org/item/66 has never worked for me. I suspect it could be because I use different usernames on different subdomains.
I found that if I made the cookie domain ".mydomain.com", all that happened was that each login on each succeeding subdomain would replace the cookie from the preceding blog. Very annoying

I tried using "subdomain.domain.com" for each subdomain and it failed to work completely - the cookie would set ok, and each subdomain would not replace the preceding subdomain's cookie, but it would still keep asking me to login even though the cookie was there.
Today it finally occurred to me to try ".subdomain.domain.com" instead. Don't know why it took me so long, considering this has been bugging me for years. Slow thinker, I know

If you do consider adding this to the FAQ, YMMV so please do try this on your own subdomains first to confirm it works for you. It could just be my own weird setup issues or something

Edit by Leng: This thread has been FAQ'd:
How can I make cookies work for both www.mydomain.com and mydomain.com?