What advice would you have for someone who wants to start in the BI (Business Intelligence) domain?
I where and what I should start with: Books, Blogs, WebCasts... What I should pay attention to and what I should stay away from.
Are the Microsoft technologies worth while ?
I would say try to find a few classes. Microsoft technologies are worth the time. There are many large companies running on the .Net framework.
Read.
http://www.amazon.com/Data-Warehouse-Toolkit-Complete-Dimensional/dp/0471200247
The series also has MS flavors.
The MS technology stack is quite good and is by far the most accessible (try to get hold of a copy of Cognos Reportnet for self-learning). Where you will run into trouble (and this is the main barrier to entry for gaining a B.I. skillset) is to actually get experience working with real data. It's quite hard to come up with a realistic toy scenario for this sort of thing.
This means that you have to overcome the chicken-and-egg problem that this poses. One option would be to try to get a job as a B.I. developer somewhere like a government department or other place that has trouble recruiting due to salary constraints. Clear evidence of technical skills and a demonstrated interest in the business might get your foot in the door.
This will be a bit harder in a recession. However there is still an ongoing skill shortage of good B.I. people. The reason is (IMO) not the lack of technical skills (the technology isn't rocket science). Instead, I think it is the aforementioned chicken-and-egg problem and the fact that the B.I. domain involves customer intimacy to do it well. It lends itself to working in an analyst/programmer mode with direct customer contact (one of the reasons I do this type of work). If you like working in this mode it might be a good line for you to get into.
Edit: Someone who's just had a job offer in this space asked whether he should take the job.
Business Objects http://www.businessobjects.com/ are quite a big player in this area and familiarity with their products will also help you break into B.I. roles.
For practise data, I would recommend something like the anonomised search records from aol that came out a couple of years back - http://www.techcrunch.com/2006/08/06/aol-proudly-releases-massive-amounts-of-user-search-data/ This is real world size and is an interesting database with some published search sets.
I found the "project real" from microsoft really helpful while getting into the bi-world. Its a real world bi project, supported by microsoft, to develop and show best practices regarding to all the areas of bi like etl, data warehouse design, cube design, etc.
free online advice videos on business intelligence http://www.guruonline.tv/itp
You can use the services of Expert MS BI Training An exclusive tutor can always be better than a book or blog.