I created some javascript code that uses spservices to allow you to add a new item to a lookup list. When you return to the edit form the data already entered is still there and it also updates the lookup field with the value you just added to the lookup list. It uses the Sharepioint 2010 dialogs, so it wont work on 2007 (although it could probably be retrifitted to use jquery dialogs)
I've been using the code in prodiuction for a while now, and its been working without any problem.