I have made a few VST plugins that make use of Daubechies 4 Wavelet transforms for time/frequency localized dynamics processing and multi-scale delay. Both plugins posted below were compiled for OSX 10.4 or later.
The first one is a bit easier to use (and a bit prettier to look at). It limits you to only one feedback and time coefficient for the delay. Notice however, that the actual delay times (in seconds) of each layer of the transform is unique and rationally related to the others. You can download the source here. The GUI background is a color treated photo of copper striations in ferric chloride. (Etching circuit boards in my bathtub again... I'm not sorry.)
The second is a bit uglier to look at but offers more fine grained control over each delay time / feedback amount. Once you get the hang of the first one, I recommend you look at this plugin because it's a lot more flexible. You can download here.
Both plugins use a windowed, optimized version of the filtering algorithm found in "Numerical Recipes in C". You can find the public domain components of their code here.