With Version 9, CDF Player is officially supporting import via URL. This is currently the only way to bring any data into a web embedded CDF or notebook, regardless of license level. Other methods are are being explored, particular for exchanging data with the surrounding DOM. Stay tuned for more information on this to come.
Please consult the following table for an updated comparison of FreeCDF vs. Enterprise/Player Pro vs. Mathematica functionality:
http://www.wolfram.com/player-pro/how-player-pro-compares.html
and here for more details about FreeCDF vs. Enterprise licensing:
http://www.wolfram.com/cdf/adopting-cdf/licensing-options.html