Here's my naive Haskell implementation, done without studying any of the others here, though after finishing and looking briefly through them, it is rather similar to some.
merge (x:xs) (y:ys)
| x < y = x : merge xs (y:ys)
| x > y = y : merge (x:xs) ys
| x == y = x : merge xs ys
supermerge (x:[]) = x
supermerge (x:y:ys) =
supermerge $ (merge x y) : ys
multiples x =
map (*x) [1..]
multiplesFromList x =
supermerge $ map (multiples) x
limbic's_challenge = multiplesFromList [2,3,5]
I'm not sure how fast it is comparatively (especially since I'm running it in Hugs), but I can get a million items in about 20 seconds.