Not without building a custom field type. Out of the box Lookup columns are
strictly within the current site.

spservices.codeplex.com/<http://spservices.codeplex.com/>

Specifically:
http://spservices.codeplex.com/wikipage?title=$().SPServices.SPCascadeDropdowns&\
referringTitle=Documentation

It's for cascading dropdowns but you most certainly can select the site that
contains the list you want and only use one Lookup Column.

You could use CQWP (Content Query Web Part) or you could use SPSiteDataQuery
if you are using code.

You could also use SharePoint Designer to create a Web Service Connection to
the list.

http://www.youtube.com/watch?v=5qthY6iMEbs

This also works across site collections and even across server farms.