I have not worked on AX 2009 but from what I gather import/export using excel was a very important activity. It was also used to do the initial data migration. However in AX 2012 it is not so easy anymore.
For AX 2012 Microsoft has created a new add-in that allows you to work with Dynamics AX AOS directly. To work with tables you can open Excel and go to the Add-In Dynamics AX and perform two actions. First setup connection to connect to the appropriate AOS server, next Add Data -> Add Tables and select the table you want to work with. You can then use Field Chooser to choose the fields you want to view/edit/update.
If you want to work with more complex data like say creating a product with all the other master data, then you it is a little bit more complex. The steps are similar basically you setup connection and then select Add Data -> Add Data which will bring up a list with all the available data sources. Where does this list come from? You need to do some setup work in AX for this to work. There are again 2 steps go to Organization Administration -> Document Management – > Document data sources. Here you setup the service you want to expose. Next go to System administration -> Services and Application Integration Framework -> Inbound ports. Here setup a new Inbound port and expose the appropriate service operations you want to expose. This should pretty much get you started.
There are few issues in this process, I have been trying to create customer records in excel and import them in. Unfortunately Customer records cannot yet be created through excel, nor even exposed as a data source because of the complexity of underlying data tables. Looks like Microsoft is working on creating a set of data repository classes.
Given below are a set of links that will help you in this topic. Most of the information provided above is compiled from the resources below.
A link from technet that shows how you setup everything so that you can use Excel to import/export data. Basically the core Microsoft documentation on this topic.
http://technet.microsoft.com/en-us/library/hh433513.aspx
A forum thread explaining what is not possible yet to import using Excel.
AX 2012 Customer & Vendor Party ID in Import
A blog explaining how to create data sources and work with complex data in excel
http://dynamics-ax.blogspot.com/2011/10/ax-2012-excel-add-in-revisited.html
