I just came across this nice tip:

One change with SQL Server 2005 is a new option to copy column headers along with the data results.  This option gets set using the query options setting.  To access this setting from SQL Server Management Studio, select Query | Query Options from the menus

You can then paste the columns into excel and you will get the headers as well.

http://www.mssqltips.com/tip.asp?tip=1107