Question: I am currently learning OLAP & MDX after many years of relational database development. 

Any tips on getting started in MDX? What are the best books and resources to learn MDX?

Answer: 
I found the Spoffard book not very helpful. MDX is such an oddity compared to other languages you'll learn, it's so hard to grasp from a dry book. I really would recommend a training course, otherwise you will flounder for ages. A course will really jump-start you, and it provides access to an expert when you have questions which don't seem to have online answers.

The worst trap to fall into, is to continually compare it with SQL! It uses some of the same keywords, but they mean something totally different, which makes the mental jump annoyingly harder.

I think the most efficient way to learn either OLAP or MDX would be to find someone who knows it, and get them to show you around, begin with some small changes, or some very simple queries.
Besides the books and resources mentioned by others, the easiest way to kick-start your MDX learning is to get a copy of ProClarity. Unfortunately getting your hands on ProClarity is nowhere near as easy as it used to be. Microsoft bought the company in 2006, and it is now licensed through PerformancePoint, I believe. Oh yeah, and they quit development on the product.

Having said all that, if you are able to get a copy, you can build queries by dragging and dropping dimensions and measures onto your rows and columns. The results of the query are then displayed in either a grid, a chart, or both.

How does this help you learn MDX? ProClarity lets you see the MDX for each query. It isn't always the most elegant MDX, but it will help you quickly learn how to write lots of different queries.