I think it's impossible in Elgg for now... BTW, speed benefits from such separation is at least discussable

You can certainly serve your general site/theme images (header, logo, background, etc.) , flash video if you have one on your site (maybe on front page) or even JS files in sub-domain as these are called in css and html (js in header.php).  But the major factor in server load (your users data) can not be separated (eg. pictures in pic.yoursite.com, videos in vid.yoursite.com) .

Now you can setup a sub-domain for ALL user data (eg. data.yoursite.com) as your elgg data needs to be outside your Elgg site anyway.

Css,  since elgg uses latestcache to pull styles from plugins as needed it might be a bit complicated also Elgg simple cache speeds it up a bit too.

You could possibly create one SUPER css file with all styles from all plugins (all that you know you'll use and call it directly from your sub-domain (eg. css.yoursite.com) in header.php but I'm not sure if that would speed it up or maybe even slow it down as this css file would be HUGE.

Just a thought.

this is rediculous. 

the serverload would still be the same, and if d/l speed is a problem then move your site to a better provider...

also, such an idea would cause problems when using ssl/https.

SubDomain related CDN functionality is usually quite valid and will add some value to server performance metrics and page load response times. Anyone who is is sincerely interested in apache/ mysql/ php/ elgg perfomance and scalability should read or already have through read Leonard's ElggCamp 2009 (Boston) presentation.. there was much there to learn and to implement for real-life Elgg sites.