The only supported way to approach this is to create a custom link entity (e.g. "Related Records") which has a many to many relationship with each of the entities that might be related to your activity. You would build up a "team" or collection of related entities under one record then link this record back to your entity. It's far from ideal, but the user experience might be improved by inserting some clever IFRAMEs on the activity record to perhaps display the "contents" of this link entity.
Other than this, you are into significantly unsupported territory. My client needed multiple records to be linked to activities in the same way that you ask. I have developed a comprehensive solution which addresses this but the I.P. belongs to my client. If you wish to contact me directly (greg.owens, the "at" sign, vitalogy, dot co dot uk), I can give you an outline of the components you would need to build but it is no small job (a lot of JavaScript and several plug-in steps).
Maybe wait for version 5?
