Direct Linking allows developers to get better performance and compatibility when interfacing with Excel Services via the Excel Web Services interface.
The MSDN Article that discusses it contains an error. It says that:
If you are writing code within Microsoft Windows SharePoint Services 3.0, for example, a custom Web Part, custom workflow, custom aspx page, and so on, you should make direct calls to Microsoft.Office.Excel.Server.WebServices.dll.
This comment is not accurate. Custom Workflow does not support Direct Linking. If you try to do it, you will get the following exception:
Microsoft.Office.Excel.Server.WebServices.ExcelServerApiException: Excel Web Services could not determine the Windows SharePoint Services site context of the calling process.