Literature

Here are links to some useful books.
I've chosen all these books as very helpful for developing Business Intelligence solutions on the MS BI Platform.

Data Warehousing and ETL
The Data Warehouse Toolkit: The Complete Guide to Dimensional Modeling, 2nd Edition by Ralph Kimball, Margy Ross
The Data Warehouse ETL Toolkit: Practical Techniques for Extracting, Cleaning, Conforming, and Delivering Data by Ralph Kimball, Joe Caserta
The Data Warehouse Lifecycle Toolkit: Tools and Techniques for Designing, Developing, and Deploying Data Warehouses by Ralph Kimball, Laura Reeves, Margy Ross and Warren Thornthwaite

Microsoft BI
The Microsoft Data Warehouse Toolkit: With SQL Server 2005 and the Microsoft Business Intelligence Toolset by Joy Mundy, Warren Thornthwaite, Ralph Kimball
Microsoft SQL Server 2005 Analysis Services (SQL Server Series) by Edward Melomed, Irina Gorbach, Alexander Berger, Py Bateman
Applied Microsoft Analysis Services 2005: And Microsoft Business Intelligence Platform by Teo Lachev
Microsoft SQL Server 2005 Integration Services (SQL Server Series) by Kirk Haselden
Fast Track to MDX by Mark Whitehorn, Robert Zare, Mosha Pasumansky
MDX Solutions: With Microsoft SQL Server Analysis Services 2005 and Hyperion Essbase by George Spofford, Sivakumar Harinath, Christopher Webb, Dylan Hai Huang, Francesco Civardi
Data Mining with SQL Server 2005 by ZhaoHui Tang, Jamie MacLennan

Microsoft SQL Server
Inside Microsoft SQL Server 2005: The Storage Engine by Kalen Delaney
Inside Microsoft SQL Server 2005: T-SQL Programming (Pro-Developer) by Itzik Ben-gan, Dejan Sarka, Roger Wolter
Inside Microsoft SQL Server 2005: T-SQL Querying (Solid Quality Learning) by Itzik Ben-Gan, Lubor Kollar, Dejan Sarka

.NET Framework and C#
CLR via C#, Second Edition (Pro Developer) by Jeffrey Richter