I want to have a textbox or a caption in an excel worksheet, that displays the value of some cell from this worksheet. Is it possible?
Yes, but you don't need vba, you can just put the control on the sheet, and link it to the cell (when in control design mode, just right-click on it and go to properties).
You can use a textbox control as Lance suggests, but there are other, perhaps better ways:
If you create an autoshape textbox (Insert->Picture->AutoShapes) you can link it to a single cell by selecting it, then type (for example) "=A1" into the formula bar. You can then format and position it as you like.
That's pretty cool, but not as cool as this: if you copy a range of cells, and then hold down the shift key as you choose the Edit menu, you'll see an option "Paste picture link". If you do this, it pastes a picture of the cells which gets updated when the cell values change. As Michael Caine never said, "not a lot of people know that".
Note: I'm talking here about Excel 2003. I assume it still works in 2007, though the location of the various commands, etc. will have changed.
Confirmed that it does work in Excel 2007 (you don't need to hold down shift).
Home tab->Paste (select down arrow)->As Picture->Paste Picture link