Had a recent case where a custom lookup was not working from a locally installed client, but would work when remoting into another box. All the normal testing was done, same user on each, even tried remoting into a users machine, but it was only when running from the local machine with a client installed locally the lookup would not display.
The problem turned out to be a parameter issue on the lookup form. When setting up a lookup form you are supposed to setup the form style as lookup, but in the case of this lookup it was set to Auto. It seems that for some reason the local client does not handle the lookup form display if the style is not correctly set, while the remote access version does.
So if anyone is having trouble seeing a custom lookup check to ensure the design style of the lookup is set to Lookup.