There's boost::intrusive::list which IME actually works quite well. There is a node type which elements derive from or contain, so you can get an iterator from an element, as well as the other way round. To include an element in multiple lists, just aggregate the node type multiple times.
Boost.Intrusive is beyond awesome. You can add nodes not only to multiple lists, but also to maps, set, hash_maps to build multi-indexed data structures (and with delete hooks all indices can be kept consistent).
