Chiming in very late to this... I have a Davis Vantage 2 Pro that connects to the web via CumulusMX, which in turn reports to Weather Underground. I get weather back into HE via the enhanced Weather Underground driver from @dJOS, which I believe builds on earlier work from @Cobra. It works beautifully.
I do wish I could find a driver that connects CumulusMx to HE so that I had a connection between HE and my weather station that didn't go through the web, but apparently this is difficult due to the design of CumulusMx. If I switched to WeeWx, there is a driver that does just that (but I don't currently have the time to switch all my feeds from from CumulusMx to WeeWx, and running both on the same RPi doesn't work reliably). Anyway, that's my setup, and I'm very happy with it other than the need to go through the web to get data into my HE. Even that is very reliable, though, and I want to change it only as a "what happens if the world collapses for a bit" precaution. I never worried much about that until the past year!