The main thing to keep in mind is that the server will see these subdomains as totally independent Web sites. You can't link between them or borrow files/images from one for use in another, without giving full http://subd.mysite.com/path/file  URLs (rather than just relative paths).

If you intend for visitors to see your blog and forum (and whatever else) as separate (but related) sites, consider using subdomains. This is best if you want them to go directly into the blog, forum, or whatever, and not move sideways at all into the other sites. If you want them to move around between these applications, I would leave them under the same "umbrella" of one domain. Just put them into their own directory trees under public_html/, rather than cluttering up your root with all this code. That is, public_html/blog/, public_html/forum/, etc. Cleanly separating application subsystems makes installation, maintenance, and removal/replacement easier if they're not stepping all over each other.

The one problem is that the way LunarPages works mean that your users can navigate to the rest of the site from the original domain anyways. Even if you deny access to the folders without a specific HTTP_HOST variable, you still can't use the folder names again.