I was recently asked a question around this scenario:
If you log into a SharePoint Portal by using the ‘Sign in as Different User Button’ as User2 it works fine, however when you click on the ‘MySite’ link it will show the MySite of User1 not User2 as you would expect.
I should also point out that the MySite and Portal are running in separate web applications (this should give away the answer).
So what is happening here is that when you click on the MySite link, this web applications asks the browser for the users authentication details, since it is a different URL (i.e. because its running in a separate web application, it will be a subdomain or even a different domain name) the browser will forward the logged in users credentials i.e. User1 (provided that it is in the local intranet zone), the browser will not keep User2’s credentials and will not forward them on. So the end effect is the scenario described above which may seem odd to the end user.
The only way to get around this is to user the ‘RunAs’ command from windows and run the browser process as User2.
What we’ve normally found is that the ‘Sign in as Different User’ option is normally only used by power users, these people will generally understand the problem if you explain it to them.