You can use the report module to create a report. In the report you can define your SQL statement and choose your connection string. Your connection string will need to be in the web.config file. Then you can display that report on a page using the report webpart.
You could also create a new Document Type that is simply a container (vs. holding actual data) and create custom queries for everything and use the out of the box webparts. You'd have to make sure your Kentico db user has access to those other database and you're using the correct sql statements when calling the other database.