I recently lost the Data Tips in Excel 2003 while writing VBA code.
The option was still on but nothing was happening.

After some experimentation, I discovered that I could turn the data
tips back on by closing a Windows Search that I had open at the same
time. I tried this a few times and verified that when the Search
window was open the Data Tips did not work. As soon as the Search
window as closed they started working again.

I've since found on a web search that at least one other person has
had a similar problem. They found that opening Internet Explorer had
the same effect, and closing it fixed the problem.