Compared to T-SQL and the database engine , MDX and analysis services is a somewhat poor relation and is usually catching up. There’s no resource governor in SQL Server 2008 or intellisense for MDX in management studio. I expect this is because while T-SQL is used by far more people than those using MDX.
However despite it’s original intentions MDX is much harder than SQL in the same way as piloting an aircraft is harder than driving a car, you have more dimensions to play with. So in developing your own MDX queries you need all the help you can get.
Enter MDX studio by Mosha Pasumansky (one of the guys who invented MDX), a free tool that give you query analyser for MDX (If you remember back to SQL Server 2000). Thius gives you intellisense, and query performance telemetry in a simple .exe you don’t even need to install!
I have to confess I only found out about this by listening to Ashwani Roy (IMGroup) presenting at last night’s BI community event. If you missed it Tony Rogerson will be putting up Live Meeting recordings of the sessions on the same site. Do watch his site for upcoming meetings, I guarantee you will learn something useful if you attend or watch them online.