Please can you advise whether we need a wildcard SSL or 2 separate SSL certificates?
My domain DNS A records are: mydomain.com / *.mydomain.com
We have built an application with Zend Framework which will alter routes and create subdomains for 1000's of users like user.mydomain.com
You'd need a wildcard certificate. A standard SSL certificate verifies a SINGLE dns hostname, like "www.domain.com". You'd need a separate certificate for EACH of your individual user hostnames, which will probably bankrupt you and make godaddy/verisign very happy.