I reviewed multiple Bi stacks while on a path to get off of Business Objects. A lot of my comments are preference. Both tool sets are excellent. Some things are how I prefer chocolate fudge brownie ice cream over plain chocolate.
Pentaho has some really smart guys working with them but Microsoft has been on a well funded and well planned path. Keep in mind MS are still the underdogs in the database market. Oracle is king here. To be competitive MS has been giving away a lot of goodies when you buy the database and have been forced to reinvent their platform a couple of times. I know this is not about the database, but the DB battle has cause MS to give away a lot in order to add value to their stack.
1.) Platform
SQL server doesn't run on Unix or Linux so they are automatically excluded from this market. Windows is about the same price as some versions or Unix now. Windows is pretty cheap and runs faily well now. It gives me about as much trouble as Linux.
2.) OLAP
Analysis services was reinvented in 2005 (current is 2008) over the 2000 version. It is an order of magnatude more powerful over 2000. The pentaho (Mondrian) is not as fast once you get big. It also has few features. It is pretty good but there are less in the way of tools. Both support Excel as the platform which is esscential. The MS version is more robust.
3.) ETL
MS - DTS has been replaced with SSIS. Again, order of magnatude increase in speed, power, and ability. It controls any and all data movement or program control. If it can't do it you can write a script in Powershell. On par with Informatica in the 2008 release.
Pentaho - Much better than is used to be. Not as fast as I would like but I can do just about everything I want to do.
4.) dashboard
Pentaho has improved this. It is sort of uncomfortable and unfriendly to develop but there is really not a real equiv for MS.
5.) reports
MS reports is really powerful but not all that hard to use. I like it now but hated it at first, until I got to know it a little better. I had been using crystal reports and the MS report builder is much more powerful. It is easy to do hard things in MS, but a little harder to do easy things.
Pentaho is a little clumsy. I didn't like it at all but you might. I found it to be overly complex. I wish it was either more like the Crystal report builder or the MS report builder but it is jasper like. I find is to be hard. That may be a preference.
6.) ad hoc
MS - this was the real winner for me. I tested it with my users an they instantly in love with the MS user report builder. What made the difference was how it was not just easy to use, but also productive.
Pentaho - is good but pretty old school. It uses the more typical wizard based model and has powerful tools but I hate it. It is an excellent tool for what it is, but we have moved on from this style and no one wants to go back. Same problem I had with logiXML. The interface worked well for what it was but is not really much of a change from what we used 12 years.
http://wiki.pentaho.com/display/PRESALESPORTAL/Methods+of+Interactive+Reporting
There are some experienced people out there that can make Pentaho really run well, I just found the MS suite to be more productive.