Matt's answer is definitely the way to go if you have multiple subdomains pointing at the same IIS app (which is exactly the situation I have right now, using wildcard DNS and then doing subdomain 'sniffing' on the receiving end).
However, I wanted to add something that I experienced in case anyone is finding that this is not working for them. Setting the httpCookies line alone didn't do it for me, I had to add a machineKey entry into my web.config file:
machineKey decryptionKey="12...D1" validationKey="D7..8B"
Particularly odd since I am not in a web farm setup (unless AWS/EC2 is effectively acting as such).. As soon as I did this, it worked like a champ.