I need a list of zip codes included in each US Metropolitan
Statistical Area (MSA).  The lsit needs to be sortable (e.g., in
Excel).  Can you provide such a list or direct me to where I can
purchase one inexpensively?

This may help you.
http://zipinfo.com/products/products.htm

I use the following service.
http://www.zipcodedownload.com/

You may just want the list one time, however it is amazing how often
zipcodes are added and deleted by the post office...

Also zipcodedownload.com offers several scripts which are awesome for
building services like Online Store Locators.
Also you will find the correct schema for your database, so there is no guess work.

There support is incredible, very quick.

Once a month I get updates on MSA, CBSA Codes, and Zip Codes.
CBSA Codes are much better than MSA Codes...
Although zipinfo is a good service, I chose zipcodedownload.com as the
better service provider.  Hope this helps you...

oh and I forgot the list is very cheap.  39.95 and up, depending on what you need.

and comes in any format you want:

Comma Seperated Values
Fixed Width
Microsoft Access 2000 (or later)
Microsoft Access 97
Microsoft Excel 97 (or later)
Tab Delimited (MySQL compatible)