Regarding the suggestion to have mathsoverlow.net as a redirect, I think this is not a good idea for various reasons, I give two.
There is no analogy to the situation for math.SE the full name the site is Mathematics Stack Exchange and now one can abbreviate the Mathematics in different ways (or not at all); all three work URL-wise http://math.stackexchange.com , http://math.stackexchange.com , http://mathematics.stackexchange.com . By contrast the name of this site simply is MathOverflow. (Look at the site there it says Mathematics in large letters here it says mathoverlow in the logo and MathOverflow in the title of the page, and everywhere.)
While adding another (virtual) server to stackexchange.com is essentially free, registering a domain name has an actual cost (time and money) attached to it.
So, it would seem to me there has to be an actual benefit, not just 'for fun'. Do some people type the URL as mathsoverflow in error? (If this is frequent one might consider the idea, but only then.)
There are also other issues, like, it might (but I do not know) be worse for search engines; why just mathsoverflow maybe for American-German relations do matheoverflow (the serious point here being if one starts having various domain names than it is not clear where to stop); one might in the end also get more vulnerable to 'scraper-attacks' and related things.
For http://mathoverflow.stackexchange.com leading nowhere, it seems http://stackoverflow.stackexchange.com is also a dead end. It is thus not clear to me why this should be any different for MO. Do (m)any of the sites that have their own URL also have one under SE.com, if not why should MO have one? And, even if others did, one might be against this for MO. The reason being that it is better to keep more indpedent identity. MO is not only just some other site in Stack Exchange Network.