I was wondering if this is possible, and if so, how? I have a user that
would like to link a list field in the datasheet view to another field
in a different datasheet view in a different site. They are both in the
same site collection, just different sites.

A little bit more of what the sites are used for:

We have our credit department that is using a SharePoint task on (Site
)A list to track their Returned Merchandise. It has a field called
Credit Memo. Our Credit Department is using a second task list on a
different site (Site B) to track the Credit Memo and RMA number. What I
would like to do is link the Credit Memo field in site B to the credit
memo field in site A.

I believe this to be possible, but probably not without some
programming. Could anyone verify that development is needed?