For some reason Excel Services seems a bit convoluted to set up properly.
Some things I had to enable in Sharepoint 2010:
Create a data source to a cube using Other Data in Excel.
Properties of the connection to get the location of the .odc file
Upload the file to trusted Data Sources library
Connect to the data source connection in Sharepoint library from Excel pivot
Upload pivot workbook to trusted document library.
Select the document. View in Browser. Get an error - please try again. (huh)
Go to Site Settings - Features - and enable Excel Services.
Select the document. View in Browser. Works. Refresh data. Errors due to delegation.
Go to Central Admin - Manage Services on Server (Where else would they be) Claims Windows Token Service - Start.
Logs for troubleshooting Excel Services can be found buried in:
Web Server Extensions
Help is your friend with Sharepoint 2010.
Still, a bit easier to configure in 2010 than in 2007.