Google has decided to disallow two distinct domains within the same adgroup starting February 2009. That means you can't have an ad with domain1.com and a separate ad for domain2.com in the same adgroup. All ads with a single adgroup must have have the same domain, domain1.com.

Using two different domains used to be a valid way of split testing your ads. The display Url must match the Destination Url in Adwords. The display Url is shown in the ad, so a carefully selected domain name is a way to get another keyword or marketing message across in the confines of an Adwords ad. Marketers familiar with Perry Marshall know he encourages you to own multiple domains and split test sending traffic to them. Perry argues that there can be a vast differnce in CTR and ROI depending on the domain name.

After February 2009, you'll need to have separate adgroups for separate domains. It's possible to split ads in different adgroups. But, the process of dividing up the adgroups and then comparing totals for split testing will become more difficult.

Subdomains are unaffected by this change. You can still have sub1.domain1.com and sub2.domain1.com in the same adgroups. Subdomains by definition all reside on the same domain.