I have to say one of the best tools that I've worked with thus far in Analysis Services 2005 is SQL Server Profiler. 

Although Profiler is not new to SQL Server, it is new to Analysis Services and provides developers and DBAs with tons of useful information.  It is very simple to set up a trace and see which users are connected to AS and what MDX queries they are sending to the instance of AS.

Yesterday, a developer and I were trying to resolve an issue we were having involving Panorama NovaView passing incorrect slicer parameters to AS.  We were able to create a trace and show the MDX that was being passed by Panorama to AS and discovered that AS was indeed getting the incorrect MDX due to an error in a Panorama class library.  This saved a ton of time tracking down where the problem was occurring.