XLConnect. , .
wb<-loadWorkbook("Your_workbook.xls")
lp<-getSheets(wb)
dat<-lapply(seq_along(lp),function(i) readWorksheet(wb,sheet=lp[i]))
UPDATE
@Martin Studer, XLConnect , lapply(), getSheets() readWorksheet().
dat <- readWorksheet(wb, sheet = getSheets(wb))