Best way using OOB components is two connected Web Parts.

OK - I get the 2 connected web parts, but what is OOB?

We've taken a more development heavy approach where we've created an ADO.NET datasource that exposes SharePoint list  data as a datasource that we then databind to a datagrid, etc. in an ASP.NET page. ...discussed in earlier postings from a month or so ago.

Using this approach, we would combine the data from the multple SharePoint lists  in the code for the ADO.NET datasource.

Sorry, OOB = Out Of the Box. Common newsgroup acronym