I suggest that people check out the excellent approach in DataPig that allows direct conectivity to SQL Server and enables Excel to run stored procedures ( or SQL scripts if you can deal with the VBA formatting ).

http://datapigtechnologies.com/blog/index.php/running-a-sql-stored-procedure-from-excel/
http://datapigtechnologies.com/blog/index.php/running-a-sql-stored-procedure-from-excel-with-dynamic-parameters/

One can still do straight data table dumps into Excel, as well, of course, but using procs is the basis for building an extensive reporting solution.

Regsrds,
Leo