If you need to implement a SharePoint custom lookup field with a EntityPicker control, here are some useful links:
In addition, you can find open source and already complete examples on codeplex:
Finally, in the blog post Suggestions and Picker: Lookup vs. Managed Metadata there is the suggestion to use Managed Metadata fields instead of lookup columns, to use the native ajax drop down. Sincerly from the theoretical point of view I don't like this approach, because it's not correct to compromise the data architecture for the UI, but it's true that in some situations this can at least be taken in consideration.