If you are new to Odata feeds, you may like to play around with some sample data to see how one works. Northwind is a fictitious company database that has been used in SQL Server and Microsoft Access for may years and kind of like the Grand-Daddy of Adventureworks.
Access the Northwind Odata feed from here http://services.odata.org/Northwind/Northwind.svc/.
This is the URL that you need to paste into the Data Feed URL field of the PowerPivot Table Import wizard.
For first timers this is a good starting page where you can find links to how to create an OData feed and other FAQs http://www.odata.org/faq. This can be useful when you want an oData feed from your vendor, but they have never heard of it.
The PowerPivot Table Import Wizard will chug you through a few screens and then you are on your way to consuming a real Odata feed sample.
Happy Data Feeding !