Is it hard to have a site on shared webhosting and have a subdomain hosted elsewhere.
For example xyz.com is hosted with a shared hosting account
and forums.xyz.com is hosted either with another host as a shared account or a dedicated server.

How are such things set up. I know that subdomains elsewhere can be set up for branded e-mail and such but how does someone set it up for hosting purposes?

Very easily. All your host has to do is edit the DNS record to point your subdomain to whatever IP address it needs to go to.

Might be better off doing it yourself if you have control over your DNS.

Will most hosts do this for shared accounts?

It really depends on your host. You need to see what their policy is. I don't see why they wouldn't because it is a very easy thing to do. They may charge you for it, but they shouldn't (IMO).

You might want to look at maintaing DNS by yourself One free one I know is http://www.zoneedit.com

So with zoneedit if I already have xyz.com hosted somewhere and go to another host and host abc.com
it would be possible to make abc.com = forums.xyz.com?

Is that how it would work?

Anything is possible so long as you can either control/request to modify DNS zone file for which ever domain you want things to go to, and in some cases, it MUST be set up on the server (sometimes it can be pointed to an IP address, so this isn't exactly required *all* the time).

From what you wrote, it doesn't sound like you'd need a second host for abc.com, it sounds like you just need control of your DNS zone file (and most likely create a CNAME for one to the other).

Then there is path forwarding... domain.com forwards to anotherdomain.com/somedir/file.html - so in short, it is pretty much possible to do anything.

You host could point that domain to forums.xyz.com also, so really it is just *how* it is done, rather than *if* it can be done.