You may want to have a look at A Plea For Actual Domain Identities.
Stack Overflow, Super User, and Server Fault are part of the initial "trilogy" of sites. So they got their own domain names. StackApps got a domain similarly, since it's not exactly an SE network Q&A site in the normal sense (just a site hosted and maintained by SEI, using the SE engine). AskUbuntu is part of a partnership between SEI and Canonical. Onstartups Answers is an SE 1.0 site being migrated over to SE 2.0 (See this blog post -- SE 1.0 sites bought the software and used it, SE 2.0 sites are created democratically via Area51).
So really, the domain names are for special cases.
Note that some sites have domain redirects, for example http://arqade.com (Gaming.SE) , http://seasonedadvice.com (Cooking.SE), http://askdifferent.com (Apple.SE), http://nothingtoinstall.com (Webapps.SE).