Just a quick note:
If you are setting up new data sources via the PerformancePoint 2007 Planning Admin Console, in order to connect you need to give the PerformancePoint Server Identity account privileges on the database rather than the Planning Global Administrator that you are probably logged in as. You will have set this account up during the Planning Server install (page 8 of the install guide).
Hope that saves you 1 or 2 minutes of scratching your head 