Another book that I re-read while travelling last week was Fast Track to MDX. I still think that it's the best book that I've seen for introducing the core concepts of MDX. My colleague Mark Whitehorn, along with Mosha Pasumansky and Robert Zare do an amazing job of building MDX knowledge throughout the book.
I had dinner with Mark in London a few years back and I was pestering him to update this book. The biggest limitation of the book is that it was written for SQL Server 2000 Analysis Services, yet it still provides an excellent introduction to MDX. The knowledge from the three authors and Mark's entertaining writing style make this still a "must-have" book for anyone learning MDX.
(And thank you to the publisher Springer for making it available in Kindle format).