Mickey Kataria has posted on the Google Webmaster Central blog that if you can verify ownership of multiple sites, you can consolidate the Sitemap files for those sites and either combine the URLs from those sites into one Sitemap or create separate files for each site, but store the files in one location. Previously, any Sitemap you submitted could contain only URLs from the site on which the Sitemap was hosted.
One instance in which this new functionality may be useful is sites with subdomains. It may be easier to write one file that contains URLs from all subdomains on a site. In this case, you would need to verify ownership of each subdomain separately, but then could create one Sitemap that contains URLs from each subdomain and submit that single Sitemap. The Google Webmaster Help Center has more details.
Sitemaps are a joint standard with all major search engines and Mickey notes in the blog post that while they are talking to the other engines about standardizing this functionality, it currently works for Google only.