In jQuery 1.6, you can use the following code generically, e.g. targetElt and parentElt can both be DOM elements or jQuery-wrapped objects, as well as selectors:
$(targetElt).closest(parentElt).length > 0
Some of the other answers require you to refer to elements by their IDs, which isn’t useful if all you have is a DOM element without an ID. Also, if you want to make sure that the targetElt is a strict descendant of parentElt (in other words, you don’t want to count parentElt as its own descendant), make sure to add a targetElt != parentElt check before your call to .closest(), or use .parents().find() as Jonathan Sampson suggests.