Cross-training..... hmm... check out journeyman's blog about this here.
I don't feel I need to add much more to the martial/athletic aspect of this subject as he and Sue C. seem to have explored the idea well.
However, something I've noticed in myself, which is a bit of a twist on the subject, is the need to cross-think. Blogging, in itself, is a form of this. So is reading the thoughts of others. In doing this, often in conversations with students/teachers of other styles and/or schools, we are expanding our internal understanding of our own paths through contemplation and dialogue with peers outside of own dojo. While I study small-circle jiu-jitsu, much of my philosophy is influenced by aikido, and i cross train, mentally, by corresponding to others who are attuned to this school of thought. I also gravitate to judo in some aspects and karate in others. While I don't desire to alter my physical training at this juncture (largely due to time constraints and focus), I can still enter into the world of these complementary arts and add the information to my own sphere of training. In a nut shell, by reading blogs I am studying not only my own style of budo, but indirectly many others as well.
I do this with books, also, linking not just Eastern thought to my Path, but Western and indigeonous tradition, too.
I feel a more rounded thinker makes a more complete student of life itself.