Just as with other BI front-end technologies in a Microsoft environment, Excel Services worksheets that access back-end data (e.g. Cubes, Databases) require Kerberos delegation configuration. However, most MOSS installations are initially configured for NTLM security, and making the transition over to Kerberos becomes a challenge since all the things done by installer programs have to be done by hand.
If you're trying to get your Excel Services worksheets to refresh to a back-end database and receive "Data Refresh Failed" error messages, odds are Excel Services hasn't been configured to delegate security.
1. Open Command Prompt
2. cd C:\Program Files\Common Files\Microsoft Shared\web server extensions\12\BIN
3. stsadm -o set-ecssecurity -accessmodel delegation -ssp SharedServices1
4. stsadm -o execadmsvcjobs
5. iisreset
In the interest of giving credit where due, thanks to Gunter Staes (http://blogs.msdn.com/gunterstaes) for the original command sequence some time back.