John,
By design Excel only offers those three line weight choices. However, by
using two or three series the run adjacent to each other you can give the
effect of wider lines.
For example, assume you have a simple line chart with these data points
making up the only X and Y series:
a 4
b 3
c 6
d 5
e 2
Add two additional columns to the right side of the original. In the third
column subtract a small amount like 0.06 from the second column. Do the same
with the fourth column to the third column. The sheet should look like this.
a 4 3.94 3.88
b 3 2.94 2.88
c 6 5.94 5.88
d 5 4.94 4.88
e 2 1.94 1.88
Add two additional line series to the chart based on columns three and four.
Set the line weights as wide as they will go for both of the new series.
Omit the data markers and set the series colors for the new lines to match
the first. Finally, delete the legend entries for the additional series.