PLEASE NOTE THAT THIS IS STRICTLY A CONCEPT AND IN NO WAY IS RECOMMENDED TO BE USED IN PRODUCTION ENVIRONMENTS.
I just published a blog post at my MSDN blog:
In SharePoint 2010, workflows cannot be directly associated with external lists. This is because the data is not stored in SharePoint, so SharePoint does not have a mechanism that can get notified when items change in the external data source. However, external data can be consumed in a workflow.
So, the question is: If you really want to leverage workflows with external lists, such that when items change (add, edit, delete) and start a SharePoint workflow – can you?
Read more here – http://bit.ly/ip37AV