Data Loader

You can download the latest data loader software here, or by going to Setup->Data Management->Data Loader.

Data loader works with CSV.  So save everything from excel or access as CSV, with column headers in the first row.

When using the data loader, you can set the number of records it uploads in a batch.  Reducing this to 100 or even 10 is sometimes a good idea, particularly with the NPower Template which has a lot of apex.  It takes longer to upload data, of course.

The success files from the data loader are really handy.  They include all the data from the sheet you uploaded AND the salesforce ID of the new record.  Failure files are good too, because you can fix problems and upload them again.