In sp 2007, I have used jquery to do the cascade. But now I hear sp 2010 provides cascaded lookup. I have 3 level to drill down (Country > State > City). Is/are there any good instruction on how to implement cascaded lookup? All the lists have been created with parent-child relation.
Have a look at the $().SPServices.SPCascadeDropdowns function within SPServices.
Read this article, which would help you in creating the cascading dropdowns in SharePoint Cascading or Filtered Lookup columns in SharePoint