Thank you for your question.
The only thing that you should be aware of is the web.config inheritance. If you have another Asp.Net application running in the main directory, its web.config settings will be inherited in Sitefinity's web.config file. If you stop the web.config inheritance though, everything should be fine. Please check the following article for more information - http://www.kowitz.net/archive/2007/05/16/stopping-asp.net-web.config-inheritance.aspx
I hope this helps.
The implementation of SSO should be the same as for each other ASP.NET application. You may find the following post useful.
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