In SharePoint Designer 2010, you can create an external content type to display data from an external SQL database in an external list in the browser.
Learn about the different authentication modes you need to consider for this scenario:
Impersonate Windows Identity
Impersonate Custom Identity
Also learn about how to use the Secure Store Service available in SharePoint Server 2010 to create target applications to solve the double-hop problem. And near the end of this video, step through a couple of troubleshooting examples.