How to keep value of merged cells in each cell?

You could use a custom VBA function that gives directly the value of the merged cell, no matter which one you select. In that case it is not necessary to duplicate the values.

1. Switch to VBA view (Alt-F11)
2. Create a new module via Insert > Module
3. In your project, browse to the new module (you might want to give it a new name via the (name) property just under the explorer)
4. Copy the following code in the module (pasting the code in ThisWorkbook will not work)

Code:

Option Explicit

Function GetMergedValue(location As Range)
    If location.MergeCells = True Then
        GetMergedValue = location.MergeArea(1, 1)
    Else
        GetMergedValue = location
    End If
End Function

5. You can now use the formula in excel

Code:

=GetMergedValue(A1)

Where A1 is a part of a merged cell.

In Excel 2003 this macro does the job:

Public Sub UnmergeAndFill()
    With Selection
        If .MergeCells Then
            .MergeCells = False
            Selection.Cells(1, 1).Copy
            ActiveSheet.Paste 'Or PasteSpecial xlPasteFormulasAndNumberFormats
        End If
    End With
End Sub

Create the macro by

1. pressing Alt-F11, Ctrl-R, menu Insert/Module, paste the code;
2. alternatively: Alt-F8, type a new name (UnmergeAndFill, e.g.), click Make or Create (? don't know the English button text)

Invoke the Macro by pressing Alt-F8, select it, Run. Alternatively map it to a key

I know this is a rather old question, but this is the first place I landed when looking for an answer, and the accepted answer did not help at all. I DID discover an excellent answer, however, on MrExcel which I thought was worth putting on this thread for the benefit of anyone else googling for an answer:
http://www.mrexcel.com/forum/general-excel-discussion-other-questions/487941-data-multiple-cells-within-merged-cell-possible.html

To save looking up the link, the answer is remarkably simple; if you merge cells using Excel Format Painter, rather than Merge Cells, it preserves the data/formulae 'underlying' the merged cells. You just need to create a temporary merged block of cells in the right format somewhere else, to use as a template for the Format Painter. You can delete them afterwards. One thing to watch out for, though, is having 'hidden' data like this can be a trap for the unwary, since editing the visible cell does not change the invisible ones.