You'll have to use a custom field type. Here are 2 links that may answer your
dilemna:

datacogs.com/datablogs/archive/2007/08/26/641.aspx
www.sharepointsnippets.com/.../SharePoint-Cascading-Dropdown---U\
nlimited-siblings.aspx

I need this functionality too but what I am asking for now is much
simpler.

In Ver2, when a list  is created, it is only accessible from that one
site. In V3, I have heard, that this list is accessible from ANY (?)
site. My reference to 'lookup' in my post was for one way to use this
'special' list-- that is-- when creating a column  in another list, the
col type would be 'lookup', as opposed to 'choice'.

Is this clearer??

A list  in v3 is only available from sites  in the same site  collection
for lookups, not any site anywhere.

If it has to be a Lookup column  from
any other site, then the links I gave you may be your only solution.

One other possibility is to create  a site  column that is a Choice data type.
This is created on your root-level site of your site collection. Once created,
you can add this site column to any list  within the site collection. I've never
tested adding entries to a site column to see if it gets automatically
propogated to the lists that use it.

Found it!----

Settings/CreateColumn/---- Does not give what I was looking. But----

Settings/DocumentLibrarySettings/ yields a link--- Add from existing columns.

This I believe, is what I have been looking for!

How do I add other columns (those created my me, to lists at the sitecollection
level), to this list  of "existing site  columns" ?

Go into the root site  home page. From there, get into site settings. Under
the Galleries heading should be a link for Site columns. Click that and you
can add your new site column.

To add a site  column. Go to the top level site of the site collection.
Site Actions > Site Settings. On the Site Settings page click on the link for
the Site Columns gallery (middle column  on the page)

The Site Columns gallery is where you define new Site columns. You can't load
your existing columns into the gallery. But you can create  the column in the
gallery and then load it into multiple lists or libraries.

You might have better luck with third-party web parts, if you have the
budget. I'd try Bamboo Solutions and/or CorasWorks to start with.