I think it’s rather marvellous that a few expert coders are working on dispelling the cloud of mystery around the proprietary file format used by SAS software. Essentially, saving your data in a SAS format (with a name like mydata.sas7bdat) locks you into their software. They have tied this up much tighter than the other software houses: IBM have a clever compressed format for SPSS data but it has largely been decoded and you can open it directly from many other packages, while Stata have a pretty clear file format which has even been adopted by others like MLwiN for saving.
As BioStatMatt has recently reported, there is now a package within R called sas7bdat, which will allow you to import directly. This means that data can be shared, checked and analysed by anyone without having to pay for a copy of SAS or other commercial products like Stat/Transfer and its SASdecoder plug-in.
By the way, if you want to see what we know so far about the sas7bdat format, check out the vignettes PDF at the CRAN site.