Multi-entity lookup needed

I have a custom entity on which I would like to add a lookup that allows a record to be associated with either a user or a contact.  CRM comes with some lookups that allow the user to choose an entity, like the customer lookup that can be used to link to a contact or an account, but I cannot see how to create something like this myself.  Is it possible?

Any advice would be much appreciated.

thanks,

Jeff