We've been doing a lot of work recently with Sharepoint and InfoPath, both the client application and Forms Server.

Data Connections are a great way of centrally managing the connections to external data sources, whether they be Sharepoint Lists, Webservices or other. However, like most things, they need some thought and planning.

A good introductory article has been posted by the Infopath team http://blogs.msdn.com/infopath/archive/2007/03/21/infopath-data-connections-part-1.aspx

Some quick things that we have found with connections....

a) Create them first (create a .udcx file) and submit to the server before starting work on the forms.

b) Create them using either this template (courtesy of the InfoPath team) or another editor. Although you can use the InfoPath connection wizard to convert connections on the server, we encountered some problems with this approach in the earlier days of forms development.

c) When developing for InfoPath client, be mindful of the need for central connections. The client form will download the connection details each time it is opened adding potentially several seconds to each tiem a form is opened. This was found to be not so much of an issue on forms server.

d) Consider if a data connection is really necessary or if, for simple lists (e.g. drop down selections) a 'hard coded' set of options is more efficient.

e) Store the data connections in a high level location (so they are accessible by forms at any lower level of a MOSS heirarchy) and keep the connection paths as server relative

f) Consider using 'read' type webservices for submitting data to external locations, rather than 'submit' type services. We found submit services to be greate where all of the InfoPath form had to be submitted, but using read type services allowed us to submit small sections of data, and even use button rules rather than code.