Just thought I'd blog this as I had trawled the web and come up with all sorts of complex answers.
The scenario - a Windows Authenticated SharePoint site running Excel Services but anytime a user refreshed a data connection through a browsable Excel workbook they got a data access error.
Most of the advice on this suggested implementing a Single Sign On solution through an SQL solution or Kerberos.
I couldn't help thinking there must be a simpler way - fortunately there is!
When creating the odc in Excel on the Save Data Connection File and Finish click on the the Excel Services "Authentication Settings" which is trying to hide itself at the bottom of the screen. Then select 'None' for the setting.
Now the blurb along with the 'None' selection suggests that it will use the 'data connection' id which I found a bit confusing (like many things I could list here, but that's for another time!)
What the blurb means is that it will use the Unattended Service Account found in the Excel Services Settings in the Shared Services Provider (it's at the bottom hiding again like it don't want to be used).
So when it comes down to it a single radio button click - much easier than implementing SSO!