Whilst I try to avoid just blogging about other people's blogs, this one is too important to miss and the more people who can find it the better.
Nick Barclay (who just in case you don't know is the author the upcoming Rational Guide To Monitoring and Analyzing with Microsoft Office PerformancePoint Server 2007) has done a definitive post on Data source connection problems in PPS monitoring.
I reckon it's a pretty safe bet that "Why can't I connect to a data source?" will become the most asked question around PPS Monitoring. Nick's post has the answers!