Typically I have used SharePoint's spreadsheet import. This will create a SharePoint list with the data that you can then use as a data connection in InfoPath.
In SP2003 under Create and Custom Lists their is a Import Spreadsheet. This will take you through a wizard to create the list.
In InfoPath if you add a data connection to receive data from SharePoint Library or List. Enter the url to the SharePoint site where your excel list is and then you can see this data in your form for a drop-down or whatever.
Another method is to Save As in Excel as an XML file and then connect to it as a data connection in your file. The nice thing with Excel is that users can keep the spreadsheet data up to date in SharePoint just like they were in Excel.