We introduce an extension of the dynamical mean-field approximation (DMFA) that retains the causal properties and generality of the DMFA, but allows for systematic inclusion of nonlocal corrections. Our technique maps the problem to a self-consistently embedded cluster. The DMFA (exact result) is recovered as the cluster size goes to 1 (infinity). As a demonstration, we study the Falicov-Kimball model using a variety of cluster sizes. We show that the sum rules are preserved, the spectra are positive definite, and the nonlocal correlations suppress the charge-density wave transition temperature. [S0163-1829(98)51436-1].