I have something similar on a site in development, but it's using module already present on the page (I guess you could add a copy froom another page if that's waht you need).  

Basically I have 4 modules, the first is a html module with the tab structure you describe, the other 3 are modules I want on my tabs.

I have a container skin for each module with a wrapping class of .noContainerWrap

I just run;-

jQuery('.noContainerWrap:gt(0)').each(

function(i) {

jQuery(this).appendTo('#sTabs-'+ (i+1));

}

);

jQuery("#galleryTabs").tabs();

I truely appreciate all the replies.  The biggest reason for this post is that I keep running into this and it bugs the crap out of me that I don't know how to do it!!

I have a couple of things I wish to accomplish with this:

1. I'm building my site using two pages for every page I want to build. A display page and a hidden "page behind". Using Live Tabs and/or Aggregator with the load on demand feature turned on for all tabs except the first one. This allows me to place a large amount of content on a single page but the page still loads very fast because the first tab is the only one that loads on page load. Since the actual modules being loaded in the remaining tabs are on a seperate page they don't  get loaded on page load like they would if they were on the same page.  The problem with this is in both of those modules the load on demand feature does a post back which is kind of messy. I want the "load on demand tabs" to load via ajax.  According to the jquery ui website it is suppose to be able to load via ajax. Whether there is something in DNN that prevents this I don't know.
2. The jquery ThemeRoller is a VERY nice and VERY quick way to style your tabs, dialog boxes, etc.  It is MUCH faster than custom building your own skins for the current tabs modules.

So there are the reasons but like I said the real reason is that I keep running into instances where it would be nice to know how to do this and I want to know how!

 If you hang a .load() statement off the tab show event, you can specify a document fragment to load:  

Point that to a module wrapper on the source page and you can pull the module straight into the tab container.  I guess you'd need to preload other content from the source page, such as css files, js files.