In order to add external repository dependencies in Mercurial, I have created an extension similar to the multi-project management feature of GNU arch. This can be probably done with other existent extensions, but I have not been able to found one that exactly met my needs (the Forest extension can be used for non-versioned Mercurial dependencies, and, in fact, they could be used together, but it is not exactly the same). So please, if anyone knows similar extensions, I would happy to know it. My friend Lluís gave me the idea to also handle non-Mercurial dependencies, so thanks from here!
If interested, check the Deps extension.
Update 2008/04/28: I have removed the extension help from this entry and added a Deps extension page to Mercurial’s wiki.