This post is mainly for fellow BI folks such as me who feel that they are only at the beginning of this road:
First I show you what I've already read (or at least have learnt a lot from):
The 70-445 Training Kit - it's a great book, teaches a lot even for beginners (I created my first reports that are in production based on this)
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Microsoft - SQL Server 2005 Analysis Services Step by Step - by Reed Jacobson, Stacia Misner
Though sometimes too detailed, perfect for beginners and helps clarify the most imortant terms.

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Kirk Haselden - Microsoft SQL Server 2005 Integration Services
The most detailed SSIS book I have looked through and very handful as an IS Reference Book.
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MDX Solutions by George Spofford, Sivakumar Harinath, Christopher Webb, Dylan Hai Huang, Francesco Civardi
This is the next book I'm gonna read because currently I feel I need to develop on the MDX field :)
Based on some initial checks I think it would be quite useful.

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John C. Hancock, Roger Toren - Practical Business Intelligence with SQL Server 2005
I read it just before the 446 exam and I suggest it for everyone wanting to pass that exam. It's almost like a Training Kit for it :)
It covers all the areas I was asked during the exam case studies.
For sample files check John Hancock's page: http://www.johnchancock.net/

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Joseph Sack - SQL Server 2005 T-SQL Recipes
Since I don't have any kind of DBA background I found very useful to read some chapters from this book. It's like the title: you can look for recipes and implement them without reading through the whole book!
