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]
[download]

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.