Problem:

The lookup field can only display values from a directly linked record.

Sure, you can lookup another lookup, but the powerful built in filter will only work on the first link. Sure, you can use GET_LIST in a formula, but then you lose the ability to click directly though to the looked up record - the core advantage of using a lookup.

Solution:

Add functionality to the lookup field to drill down through multiple links, with the filter applying to the final link.