I was annoyed by getting emails on my sites for both comment approval, and from the contact form, that are from my main domain (instead of the domain of the particular site). The particular domain is an add-on domain, and after trying to get some help from my hosting provider, I tried many avenues through the WordPress backend without success. I finally have a solution, and it takes all of 1 minute to correct this!
Install the plugin WP Mail SMTP. If you are on the latest version of WordPress (2.8.4 as of this date), you can just go to Add Plugins and search for this easy to configure plugin. If you are not on the latest version of WordPress, stop right now and update your site to eliminate security threats. This plugin allows you to use SMTP to send your WordPress mail instead of the normal php mail.