I literally just did this yesterday!

Check this out:
http://spservices.codeplex.com/

So, it's jQuery and they use the SP Web Services model to get data from other
lists. In particular I used this:
http://spservices.codeplex.com/wikipage?title=%24%28%29.SPServices.SPCascadeDrop\
downs&referringTitle=Documentation

I'm not certain of its reach outside of a Site Collection. The example they use
has three different lists, however, I used the same list  with three lookup
columns. The first lookup column populated the next two based  on their reference
to the first. Read it and you'll understand a little better. If you have any
questions just post them up here and we'll try to help