I can think of several ways to accomplish VLOOKUP, or VLOOKUP-like, functionality using SAS data. The one that comes to mind is:
1. Pull the data into Excel using either SAS Add-In for Microsoft Office or one of the SAS OLEDB data providers (Local Data Provider in your case).
2. Use the Excel VLOOKUP function against that now Excel resident table.
3. Use VB to refresh the Excel view of the SAS data as necessary.
An alternative would be to do a SQL query for each lookup value via ADO/OLEDB or even SAS Add-In for Microsoft Office. I think this would require more, and more complex, code writing but would remove the limitation of the data fitting into one worksheet (65536 row max) and having to refresh Excel's view of the data. For this, you are correct, ADO would be the best choice.