So, using yahoo finance as an example I show you the two general methods. If you go to any website you can just use the open command and specify the HTML table. This requires the data to be stored in an HTML table.
Below that, I show you the yahoo finance table.csv api. Adding s=TWTR to the end will create a CSV file for all the twitter data you could then play with in JMP. If you want to know more about the api, this page is helpful.
Yahoo Finance (hidden) API | Ido Green
//Just browsing the web, was able to get these tables
open("http://finance.yahoo.com/echarts?s=TWTR#{\!"allowChartStacking\!":true}", HTML Table(2));
open("http://finance.yahoo.com/q;_ylt=AwrXgiOYWBFXxGUAYiiTmYlQ;_ylu=X3oDMTE0bWJta2VyBGNvbG8DZ3ExBHBvcwMxBH...", HTML Table(2));
open("http://finance.yahoo.com/q;_ylt=AwrXgiOYWBFXxGUAYiiTmYlQ;_ylu=X3oDMTE0bWJta2VyBGNvbG8DZ3ExBHBvcwMxBH...", HTML Table(3));
//This is the yahoo finance api interface
open("http://ichart.finance.yahoo.com/table.csv?s=TWTR");