One possible option is to use the RSS feed from a customized Content
Query Web Part as the data  source. It requires MOSS and some XSL kung
fu to make sure you are emitting all the columns you want, but it is
technically possible.

Another would be to use a DVWP feature that is a little bit  hidden ;-).
(The following is from the top of my head, so the labels are probably slightly
different)
Once you have your linked data  source, click the columns you want to insert from
parent list.
Insert as multiple view.
Click on one TR in the dvwp and either use insert additional TD or TR (depends
on how you would like the final result rendered).
Click into the newly created TD|TR, choose some columns from the second list  and
insert as "Joined sub-view".
SDP will now let you choose the join  field that you want to use.

but when I right-click the extra data, I don't see anything
that remotely resembles "joined" or "sub view". All I get are "Insert as
Text [or Label, or Date/Time]", "Insert as Indexed Value", "Copy Item
XPath", and a few others that look similar.

I tried doing this with an un-linked list, but nothing came of that either.
Any other suggestions?

I just found "Joined Subview" on the "Insert Selected Fields as..."
dropdown.

Maybe I should take a nap now.

After you configure the Linked Data Source, you can use the DVWP to
join the two list. It is a bit  involved, but possible. After adding
the DVWP to an aspx page, you would identify your various columns to
add to the page. Next, next the additional columns from the second
list. That is how you identify the column that establishes the join
relationship. It has to be done on the aspx page by selectively
adding the columns from both lists.

if you need a step by step, post  your question on the board. It will
take me a few days, but we can get it done.

I may take you up on that offer if I can't get this going.
Odd that there seemed to be no way in that process to assign  a join  field.