Aw, thanks!
Yup, multiple dropdowns, each using the specific data source, and only show one based on what the user selects. It is clunky, and can be a little hard to work with in design mode, but it is the most straightforward approach.
Here's some stuff I would do to make it a bit better -
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Query only the data source I need when the first field is filled in. That is, let's say your first field is called "Category" and your second field is called "Subcategory". You have 4 possible data sources for Subcategory. When the Category field changes, run the query for the data source for the Subcategory drop down that will be displayed. This way you aren't loading data you may never need.
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Add some expression boxes (calculated values) over each drop down that have conditional formatting to always hide ("The expression" for the first drop down in the formatting, and then just the number 1 for the expression as the condition, with Hide this control for the formatting). Then you can have labels for each drop down that will only show in designer, so you don't have to open up the properties for each to see the data source. It will just make it easier to keep them straight in design mode when all of them show.
Hope that makes sense... :-}