Actually, there are some that are supposed to help. Shiseido makes one (Body Creator) that's pretty expensive, but Neutragena (I know I spelled that wrong) also has one, as does Avon, and I've even seen one by Loreal. One of the key ingredients is caffeine, of all things. Shape has an article in this month's issue, and they recommended four things for getting rid of cellulite. Three were diet, exercise, and those creams or lotions. The fourth I think was medical procedures, I can't remember.
The thing is, a lot of what the lotions do is change the appearance of the skin to make the cellulite less visible, so if you stop using them, the appearance of the cellulite will increase.