I have had quite a few folks tell that they are frustrated with the web service support in Microsoft Office. Well, I feel your pain but you do hav eto consider the complexity of binding to web services (they can really have ANY structure, it's not like a dataset, datatable, etc..)

I have been telling folks that if they are wanting thier users to pull data from web services into Office Documents, they will stil have to write some code (in the old days, you'd write a macro in VB to do this)

Enter Visual Studio Tools for Office. now you can create Office Documents that are a part of your overall application stack. Here's a GREAT reference application built using Excel to create an Invoicing Application

http://msdn.microsoft.com/office/understanding/vsto/default.aspx?pull=/library/en-us/odc_vsto2005_ta/html/officevstobuildingexcelinvoices.asp 

this at least will help you get your brain around where this fits in and how you would use it. Think SharePoint Documet Library hosting your custom Excel Workbook (that you've extended) as it's document template. I love this stuff !!