I found this to be the easiest way... 

SELECT * FROM OPENROWSET ('Microsoft.ACE.OLEDB.12.0', 'WSS;IMEX=1; DATABASE=http://portal/sites/Team/;LIST=On Call;VIEW=;RetrieveIds=Yes;', 'SELECT * FROM LIST') 

You'll need Microsoft Access Database Engine 2010 installed. Here's the URL http://www.microsoft.com/en-us/download/details.aspx?id=13255

Here's a connection string reference: http://connectionstrings.com/sharepoint