In Excel 2003 you could edit a SharePoint list using Excel. For some reason, probably because they are trying to push users to use Access for this now, Microsoft dropped two-way sync support in Excel 2007. This ability was listed as a deprecated in WSS 3.0.
I came across this blog post today, which had a link to an Add-In from Microsoft to add this support back in.
In the comments of this blog post I found this ActiveX control that has MUCH better support. The above add-in really only lets you create an XLS and then post it to SharePoint. Once this is done you can then edit it in Excel. What it is lacking is the ability to edit an existing list that’s already in SharePoint in Excel and then sync the changes back up.