With entity framework, could I, say at fairly high up in the stack set which database I want to connect to, and then have EF use that for all queries?
This is not a scenario where you have a different db per model, but rather have all models connect to the same database, but this database could be different depending on some criteria (like say the URL or a sub-domain).
If yes, what implications would this have with db pooling etc?
When you create your ObjectContext, a parameter for the constructor is the connection string:
http://msdn.microsoft.com/en-us/library/bb739017.aspx
There should be no implications on pooling.