Just installed and configured Donncha's domain mapping plugin. I have a multi-site installation with subdirectories, and I have a personal site as a subdirectory that I'd like to map a domain to (but I'm also the Super Admin of the whole enchilada). I'm using GoDaddy as my registrar, but my site is located in a shared hosting environment with Site 5.
As the Super Admin, I decided I'd go the CNAME route and put the existing WPMU domain in the field "Server CNAME domain." I then logged in as the subdirectory user and added my GoDaddy domain as a new domain. When I set it as the primary domain for the blog and check it, it redirects to a site 5 Apache specs page.
For the record, I did create a new CNAME record in my GoDaddy domain account pointing the www entry to the existing WPMU domain. Hope this makes sense...