As Tomas says:
" is to get a dedicated IP address and route *.example.com to this IP address"
yes. That's the dns part. Then in IIS you create a site with NO host header ( = the default website) for that IP. This indeed works - I have a few weeks ago created such a beast - but the consequences are:
(since it relies on the default website per ip)
1. I can just have one "wildcard subdomain site" per IP (I can have additional regular hostheader specified sites on the same ip, yes, but of course just one "default" website)
2. The risk of being "hijacked". Actually happened to my site. Serverside I did some parsing to get the subdomain part out and rewrote the url <user>.domain.com -> /user.aspx?id=<user>
However I never verified that the MAIN domain part was indeed mine. What can happen:
<user>.DIRTYDOMAINNAME.com -> /user.aspx?id=<user>
If someone buys a "dirtyname" domain and simply points it to *your* IP.
Result: a duplicate of your site content is being served (still from your very own server) but under a nasty domain name. Which might be a problem...
What happened to me and my brand new site was that the guy owning the other domain had misconfigured a DNS entry (and pointed a subdomain host of it to my ip).
It was innocent but still...
Personally I really think this should get prioritized by IIS team (i.e being able to specify wildcard in hostheader) - while not being a showstopper for me, it sure is one of these things making you look towards Apache/Mod_AspDotNet
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