I would say you have 2 seperate things there
data scraping, screen scraping & web scraping is about actually getting the data from the source
data mining & report mining is more about using the data to uncover trends/information
Basically if anything can be seen on the screen then 99.9% of the time you can get the data, how you get it varies and is constantly changing as sites update, introduce new technology and implement security measures. It is good practice to abide by any rules and not to overburden any site with too many requests.
doris_day has given a very good place to start using excel and webqueries. My advice is that if you intend to use extracted information for non-live analysis then excel and VBA is by far the easiest method as excel files are easily ported to other apps for analysis and storage. VB & C# would be better suited for live situations and building complete apps from scratch.
Website technology has moved beyond the days where all data is in the HTML code; often these days there are technologies like SOAP, Javascript and AJAX which update only parts of the webpage. Sometimes you may need to build a bot to replicate a user access. It all depends on the site and technology being used.
The best thing is to start a small project with just one site. See if you can extract the data you need using..
1. Excel webquery
2. Source HTML
3. Parsing Javascript/SOAP/AJAX
If you can do these you should be able to get to 75%+ of sites.
This is also a good book
http://www.heatonresearch.com/book/http ... sharp.html