Quite often at Ridgian we deploy Analysis Services as part of a BI Solution integrated with SharePoint. We now always use Reporting Services in Integrated Mode and as a result we always configure our farms to use kerberos as the Single Sign On (SSO) method.  If you do the normal configuration for Kerberos, (I put some references on how to do this here) there is one final littel step you might need to do if things are quite working and that is in your connection string to the Analysis Services Database make sure you add in the entry:

 

SSPI = Kerberos;

 

this should make things kick in.  It worked for us in Reporting Services and in Excel Services.  Good luck!

 

Cheers

 

Dave Mc