Thats a very good Questtion. I'll try to answer both the scenario.
TheAteist wrote:
Additional request hits IIS for site A. New AppDomain is created and in this new AppDomain HttpApplication is created OR HttpApplication is created in the 1st AppDomain(that was created for 1st Request)
If application domain is already there, then it will be used for other request as well.Same HttpApplication class can be used for multiple request.
TheAteist wrote:
Additional request hits IIS BUT for site B. New AppDomain is created and in this new AppDomain HttpApplication is created OR HttpApplication is created in the 1st AppDomain(that was created for 1st Request)?
No, HTTPApplication is confined into app domain. HTTPApplication object of one site cannot be used by another website.