I was trying to log in to LiveJournal using the OpenID of my WordPress.com-hosted blog which is on the custom domain jeremy.visser.name.
When I entered my domain into LiveJournal's OpenID login box, I was greeted by a message telling me that I hadn't yet logged into WordPress.com, but I had! I went to the WP admin, and sure enough, I was logged in.
I checked my cookies, and no cookies had been assigned for the jeremy.visser.name domain (apart from the Google Analytics cookie), but they were there for the jeremyvisser.wordpress.com domain (which my WP admin for jeremy.visser.name goes to).
I then visited one of my blog posts on jeremy.visser.name. Then, I checked my cookies. I then had the right cookies for jeremy.visser.name!
So I then logged into LiveJournal via OpenID, same as before, and it worked. Just visiting one of my blog posts fixed it.
Weird, but might help for someone else who's having the same problem.