Here's a helpful feature I recently stumbled across for the 10.3 version of Address Book. It might also apply to older versions, but I cannot verify whether it is or is not since I installed Panther.
With a contact is selected whom you have placed in one or more groups, press the Option key and all the groups that that contact is in will be highlighted, as seen in the screenshot.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20031026010712863