http://cl.codeplex.com/
"SharePoint 2007 and WSS3.0 come with Lookup field out-of-the-box. The lookup allows creating list columns that refer some other lists. To the end user the lookup column is edited via simple dropdown. The functionality is quite useful in case of any referential lookup, such as Employee >> Department, or City >> State, and so on.
However, the biggest shortcoming of the SharePoint OOB field offering is lack of hierarchal dropdowns or connected lookups.
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This solution is transparent to the surrounding controls. In fact, Connected Lookup field listens to other Connected Lookup fields on the page.
There is a bit of magic in my implementation as Connected Lookup fields are independent but each knows which one is the Parent and which are the Childs. You can create as many Connected Lookup fields as you want and build true hierarchical trees. And all the fields will honor SharePoint native sorting, filtering and grouping."