As of me writing this (May 23 2012), SSL is supported via the CloudFront distribution URL only. Meaning, you cannot CNAME the SSL URL. Concretely, you can reference an item via SSL as:
where cdn.mydomain.com is a CNAME to [distribution].cloudfront.net. At present you will get SSL errors.
This means you are unable to use your domain name or SSL cert. This can cause problems with crossdomain policies in the browser as well as add undo complexity to the maintenance of a site.
I have been assured by AWS staff that HTTPS support for distribution CNAMEs is on their feature list but that it needs community support for prioritization. To help in this effort please fill out the CloudFront survey (see below) and note this feature request. AWS staff use data gathered from the survey for planning and prioritizing the CloudFront roadmap.
Be sure to note that HTTPS CNAME support is needed when you take the CloudFront Survey: http://aws.qualtrics.com/SE/?SID=SV_9yvAN5PK8abJIFK
EDIT: Noticed a post from June 11, 2012 that AWS had updated the survey link:
New Survey Link: http://aws.qualtrics.com/SE/?SID=SV_e4eM1cRblPaccFS
I think it is worth the time to provide them feedback about making CNAME + SSL a supported feature.