Some organizations feel very strongly about keeping the authentication information on a different machine than the webserver. With the mod_auth_msql, mod_auth_mysql, and other SQL modules connecting to (R)DBMses this is quite possible. Just configure an explicit host to contact.
Be aware that with mSQL and Oracle, opening and closing these database connections is very expensive and time consuming. You might want to look at the code in the auth_* modules and play with the compile time flags to alleviate this somewhat, if your RDBMS licences allow for it.