As you consider this option, keep in mind that there is no real data source. It's just you manually copying and pasting. You have no way to refresh the data, and you have no way to trace back to where you copied the data from.
Imagine that you've received the Word document shown here. You like the nifty table of holidays within the document, and you believe it would be useful in your Power Pivot data model.
You can copy the table and then go to the Power Pivot window and click the Paste command on the Home tab. This opens the Paste Preview dialog box, shown here, where you can review what exactly will be pasted. You won't see many options here. You can specify the name that will be used to reference the table in Power Pivot, and you can specify whether the first row is a header.
Clicking the OK button imports the pasted data into Power Pivot without a lot of fanfare. At this point, you can adjust the data formatting and create the needed relationships.