I've been doing some work this week working on SQL Server 2005 Reporting Services using MDX to query OLAP Cubes. It's the first time I had a serious project (that is, do anything significant) using MDX, and it's been an interesting experience.
After a while, MDX starts to sort of make sense, but I will say that, as far as query languages works, MDX has a pretty strange syntax; it's not very readable [1] and I found it pretty absurd that the facilities in the language to work with parameterized queries were so convoluted!
[1] It's probably more accurate to say that queries can be written in a very readable fashion, which is usually useless because it means using a structure that makes it very hard to introduce query parameters. Silly, if you ask me...