Depends on the number of records. If it is not too many then the native combo can do the trick with multi select turned on.
If the number of records exceeds 100 or so then a grid (such as Marcias at www.tightlinecomputers.com) OR Mike Lewis's SimpleList class works well. See http://www.ml-consult.co.uk/foxst-28.htm
Mikes class is probably the easiest for simple selections, but Marcia's Grid class is the most powerful