Analysis Services cubes for OLAP analysis have improved substantially between SQL Server 2000 and 2005. Still, there's always room for improvement. The recent CTP (Community Technology Preview) editions of the upcoming SQL Server 2008 product shows that the product continues to improve, and that improvements align very well with what customers and developers want and need.
Some of my favorite new capabilities and features with SSAS 2008:
The dimension design improvements will be especially helpful for those new to AS cube development. The current tools are excellent, and the available wizards do a great job getting new developers going in the right general direction. Yet, as with many tools, the initial feeling of confidence can be misleading as a generic, wizard-driven design begins to crack under the strain of production data volumes and usage patterns.
The new dimension designer enhancements are meant to address this situation, with the goal to help designers make performant cubes from the very beginning. Of course, there are things that can be done even in the 2005 release to improve the quality of designs. The easiest to use tool is BIDS Helper, a freeware set of add-ins for BIDS.
Where BIDS Helper will give good advice, and should be part of the tool-box for most OLAP developers using SSAS, only a thorough understanding of what's happening under the hood will help achieve the best design and performance. One of the best sources for this info is the Microsoft SQL Server 2005 Analysis Services Performance Guide provided by Microsoft. A must-read for any serious SSAS OLAP developer.