Data connections are very used n InfoPath to pull data in from many different sources. The data connections are called UDC files. They areused by the Forms Service Proxy Web Service Protocol to connect to a target Web service. A form template uses the information in a UDC file to connect to a data source.
One thing you have to be very careful of is the naming conventions used when there are multiple UDC connections being made. One such situation arose on a customer site recently where an InfoPath form was accessing multiple UDC links to Web Services. When the form published via SharePoint's Central Admin Site the following error was seen:
“Relative links to Data Connection Libraries located in different SharePoint Site Collections are not supported.”
When checking the forms and the custom controls it was seen that data connections all seemed to be pointing to the same place:
There was one subtle difference though - some of the references were [sitecollection]/[Subsite]/dataconnections because of the difference in the capitalisation in the URL they are picked up as being data connections in different site collections. It is also the reason for the error message in publishing.
One other thing to note is that the form would publish without any hitches as long as the name and formatting of the Data Connections is consistent across all the data connections.
If you want to know more about UDCX's then have a look at: http://blogs.msdn.com/infopath/archive/2006/10/30/the-anatomy-of-a-udc-file.aspx
Microsoft Consulting Services UK