In Word 2003 or earlier, Paste Special is a choice on the Edit menu. In Word
2007, click the down arrow on the Paste button on the Home ribbon and choose
Paste Special from the dropdown menu.
In either case, the dialog will let you choose from "Microsoft Office Excel
Worksheet Object" (a linked object that will update when you change the data in
Excel), "Formatted Text (RTF)" which creates a Word table, "Unformatted Text"
which creates tab-separated text, and various kinds of graphics.