Excel function to make SQL-like queries on worksheet data?

If you can save the workbook then you have the option to use ADO and Jet/ACE to treat the workbook as a database, and execute SQL against the sheet.

The MSDN information on how to hit Excel using ADO can be found here.

If you want run formula on worksheet by function that execute SQL statement then use Add-in A-Tools

Example, function BS_SQL("SELECT ..."):

You can use Get External Data (despite its name), located in the 'Data' tab of Excel 2010, to set up a connection in a workbook to query data from itself. Use From Other Sources From Microsoft Query to connect to Excel

Once set up you can use VBA to manipulate the connection to, among other thing, view and modify the SQL command that drives the query. This query does reference the in memory workbook, so doesn't require a save to refresh the latest data.

Here's a quick Sub to demonstrate accessing the connection objects

Sub DemoConnection()
    Dim c As Connections
    Dim wb As Workbook
    Dim i As Long
    Dim strSQL As String
    
    Set wb = ActiveWorkbook
    Set c = wb.Connections
    For i = 1 To c.Count
        ' Reresh the data
        c(i).Refresh 
        ' view the SQL query
        strSQL = c(i).ODBCConnection.CommandText
        MsgBox strSQL
    Next
End Sub

One quick way to do this is to create a column with a formula that evaluates to true for the rows you care about and then filter for the value TRUE in that column.