Single Sign On in SharePoint is a Service. It is really just something that holds credentials (login’s/passwords) for different applications. These other applications can be CRM systems, ERP systems, whatever. It does not automatically integrate or pass through credentials to these systems. This may sound obvious to some people, but it’s important to point out because this is what I always hear people think it does.
What it really does is allows developers and administrators to connect other systems in webpart code and as an example an administrator could use it in the BDC application definition xml’s authentication for connecting to say a SQL database. It is wonderful in that it gives a great starting point and service for configuration and development to pull data from other systems into SharePoint (typically).