I very often copy the result of a SQL query to Excel to provide data to users. I always have been a bit frustrated that the captions of the columns are not copied as well until... I read this post: http://aspadvice.com/blogs/ssmith/archive/2007/12/01/Save-SQL-Query-Results-With-Column-Names.aspx

An option is well hidden (and correctly place at the same time) in SSMS that let you do that!