I saw an interesting question/answer exchange on Reporting Services that I'd like to pass along
Question: Is there a way to have a self-contained data source in a report--in other words, to write the RDL in such a way that the data itself is serialized into the report definition?
Answer: Not out of the box, but because Reporting Services supports custom data processing extensions, you could write a data processing extension that reads the Data Source property as an XML string, parsing the string and passing it directly to the report.
Commentary: I could see using this approach as a way of distributing specialized reports to remote sites. The RDL would still need to be deployed to a server, but the report could be rendered by the recipient in a variety of formats, which would not be possible if the finished report were simply sent as a PDF document or even as an XML file.
One of the samples that ships with Reporting Services (2000, and presumably with 2005 edition as well) is a data processing extension that reads an XML file. You could adapt that sample to read the XML directly from the connection string.