Books

• The Data Warehouse Toolkit: The Complete Guide to Dimensional Modeling
  You MUST read this book before using any version of Analysis Services
• The Microsoft Data Warehouse Toolkit: With SQL Server 2005 and the MS Business Intelligence Toolset
  Suggested reading if you want an overall technical description of the Microsoft BI tools included in SQL Server, with good patterns of modeling and usage.
• Applied Microsoft Analysis Services 2005: And Microsoft Business Intelligence Platform
  Good book on Analysis Services 2005. Many examples of practical use. Disclaimer: I was one of the reviewers of the book.
• Programming Microsoft LINQ
  I wrote this book with Paolo Pialorsi - it covers all the features of LINQ in .NET 3.5, including ADO.NET Entity Framework.
• Data Mining with SQL Server 2005
  A good book about Data Mining features of Analysis Services 2005