One of the coolest (only?) SharePoint external data features is the Business Data Catalog (BDC). The BDC is brand new with SharePoint 2007, and is not yet fully integrated into Excel and Excel Services... though, if you've read one or two other entries...

Here are a few books being worked on about Excel Services: http://www.amazon.com/Beginning-Excel-Services-Liviu-Asnash/dp/0470104899/sr=8-1/qid=1168539718/ref=sr_1_1/105-2258527-0791610?ie=UTF8&s=books http://www.amazon.com/Professional-Excel...

MSDN has created a forum for Excel Services related discussion, you can find it at: http://forums.microsoft.com/MSDN/ShowForum.aspx?ForumID=1208&SiteID=1 We're working on a more readable shortcut, and it's empty as of right now but you can expect...

<UPDATE: Reworded the post to stay away from any legal issues :o) > We are currently working on planning for the next version of Excel Services and I would greatly appreciate any v1 feedback as well as requests you would like to see implemented...

As you have noticed, many of my samples below use an Array Formula in Excel to retrieve an array of data returned by your UDF code. The biggest issue with taking this approach is that you need to know ahead of time the exact dimensions of the data...