Mice with wheels have emerged in the last few years, starting with the Microsoft Intellimouse and spreading to other manufacturers. The wheel can be clicked like a button, or rolled up and down. Far and away the best reference for information is http://www.inria.fr/koala/colas/mouse-wheel-scroll/ which describes how to get lots of X applications to recognise the scrolling action.
In general, you'll need a fairly new Xserver to use the scrolling action, but some older servers will recognise the clicking actions. For instance, the Intellimouse is supported by XFree 3.3.1 and later.