(Resurrected by request from the pre-crash blog posts)

Setting up the lookup list
1. At the top level site use the /_layouts/create.aspx page to create a list with a column that contains the items you want to lookup to.
2. From the Site Settings > Site Column Gallery create a Custom Site Column that uses a lookup field to the new list and column from step 1.

Using the new lookup
3. At your chosen location in the site hierarchy, go to the settings for the list/library where you want to add your lookup and in the Columns section, click Add from existing site columns
4. Select your new Custom Site Column from the list (use the groups menu to filter and locate your list depending where you added it, either to an existing column group, the default Custom group or a newly defined custom group), and add across.
5. The new lookup column will now appear in your list/library.