Have a look in the 'Data Management: Data warehousing general discussion' and 'Data Management: OLAP' forums for discussions on what they are.<br>
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This is a relevant SQL Server question because Microsoft have added 'OLAP Services' to SS7 - it is a very quick, easy and cheap way to get started with DataCubes, etc. which are essentially a way to give users a flexible way to analyse data in a database.