Could be a couple different problems. The first possibility is that Excel Services doesn't support using SharePoint list data (crazy I know)... although this only applies if you try using the type of embedded data source you get if you choose Export to Excel from a list (again, I know crazy).
However an easy way around this problem is to use the SP webservices to get you list data. I had a macro written by someone at MS a while back that automated this conversion, if I canfind a link I'll post it. If you are using Kerberos then you task is probably finished. If using NTLM then you may need to also configure an SSO application so that the right credentials can be passed to the webservice (or any other data source for that matter). There's a pretty good step by step here.
One kind of "hack" to get this to work via UDF's (which if trusted, custom code can be deployed and made available via Excel Services) can be found here.