New in WSS 3 MOSS 2007 is the Data Connection Library, which is a library for storing data connections. One of the purposes of a data connection library is storing data connections like web services that are used in InfoPath.
For one of our customers, we created an InfoPath form that used external web services for retrieving and storing data. The form worked fine, but once published to a forms server, the form could be opened in a browser, but the web services returned an error in the web form. When looking at the event log, it reported that the data connection to the web service wasn't trusted.
InfoPath (2007) has the option to convert a data connection to a UDCX file in a SharePoint library. Once deployed the InfoPath form again with the new data connections in SharePoint, the web services are trusted and they work perfectly.
Another great new feature of MOSS 2007.
More info: