There's UI support in 2010
Stefan Stanev found out it's possible to rig SP2007 to do the same thing, sort of (see http://stefan-stanev-sharepoint-blog.blogspot.com/2010/11/sharepoint-2007-associated-lookup.html).
The catch is deleting the field will give error Exception calling "Delete" with "0" argument(s): "One or more field types are not installed properly. Go to the list settings page to delete these fields."
I noticed you get the same error if attempting to delete Created_x0020_Date once AllowDeletion is set to True. So it appears the issue is widespread with regard to lookup columns that contain the FieldRef attribute.
My only concern is what happens when upgrade occurs.
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