This is one of my 12 SharePoint platform busters. You must link a lookup
field to a list that is within the same SharePoint Web. The only work
around that I currently know of (and I've searched for workarounds) is
to have a redundant copy of the lookup list in every Web.
But, that doesn't fully address the problem either. Lookup fields are
based upon the GUID of the list to which they are related. So, you
cannot save the list as a List Template and use it on another Web. Even
if that Web has an exact copy of the lookup list, the GUID will be
different. So, the lookup field will need to be deleted and re-added.
Hopefully this issue will be addressed in the next release of
SharePoint.