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 prefer dragging and dropping fields around in MS Excel, and then using SQL Server profiler to capture trace against SSAS. This way, you get an awesome frontend for building queries, and then you can get the queries that Excel is using through the profiler.
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.