I have a domain purchased thru Godaddy, www.mysite.com and with another hosting provider, I have a subdomain, foo.mysite.com
Now I know that I could do a 301/302 redirect using the Godaddy domain control panel, but I was wondering if I could to this without making a redirect? I don't intend to do any masking. Is this possible? If so, how?
It should be possible, but the specific method depends on how your DNS and server are currently set up. The easiest way is to change your nameservers and use the DNS service provided by the hosting provider for the subdomain. That hosting provider should be able to point the bare domain, www version and the subdomain all to the same server. You should contact them for more details.
The other possibility is to use your domain registrar's nameservers, for example if you are using other services from the registrar.