I created a content type, and want to add a new site column to it. But I need this site column to be of type look-up and I want that look-up to retrieve values from external database query. Is that possible ?
Yes. You need to create an External Content Type first. Then create an external list. Then while creating the Site Column you can say type = Lookup and pick the external list from the drop down.
On the other hand, you can add the column directly to the list. For that you need to open List Settings -> Create Column -> Choose External Data (In this case you don't need to create an External List)