Its more than often that you're Marketing company would request importing lead data in CRM 4.0.
This can be achieved either by integrating an external application or doing a customised import. Albeit Microsoft CRM does have its own data import utilities but more than likely your organisation would want to import the data that meets your CRM customisation. Your data source could either be a flat file (csv), xml data source or another application, Westwood Software have a solution. We have developed simple applications that have a user interface that simply allows connection to the CRM and passing lead info one record at a time to data import routines, that use flat file as data source and import data into a heavly customised Microsoft Dynamics CRM 4.0.