Ran across a good article at
http://thedesignspace.net/MT2archives/000206.html describing a cross-domain solution that works when both servers are in the same LAN, using IIS. The article also describes some of the issues to watch for when constructing the URLs to avoid problems with Mozilla and Safari.
A number of people have tried the little cross-domain demos on my web site. Many seem content to check the first demo but don't exercise the second one. Need to make it more amusing, I guess... The logs show at least one person tried to link the second demo to a live SCO in another domain in Eastern Europe. This was of course blocked since every proxying that is not allowed is blocked, but if someone has SCOs online somewhere and wants to try it out we can arrange to add a rule to allow forwarding, as long as it is to a trustworthy site.