Excel has a little known feature called "Web queries" which let you retrieve data from almost every web page without additional programming.
A web query basicly runs a HTTP request directly from within Excel and copies some or all of the received data (and optionally formatting) into the worksheet.
After you've defined the web query you can refresh it at any time without even leaving excel. So you don't have to actually "export" data and save it to a file - you'd rather refresh the data just like from a database.
You can even make use of URL parameters by having excel prompt you for certain filter criteria etc...
However the cons I've noticed so far are:
Here is a question about how to create web queries in Excel. It links to a Microsoft Help site about How-To Get external data from a Web page