Informit.com has made available a complete data mining chapter from Practical Business Intelligence with SQL Server 2005.
The co-author of the book, John Hancock, is a Microsoft Consultant out of Canada that I've had the pleasure to meet. He visited the Analysis Services team for a bit in what's called the "SWAP" program (although it seems a bit one-sided, consultant's swap in, but we never seem to swap out, hmmmm). John had implemented a very clever application of our Association Rules algorithm to implement a link analysis solution. He took advantage of our extensive .Net programmability model inside stored procedures. It was really cool.
John and Roger's chapter is described as "This sample chapter looks at how to use some of the data mining features in SQL Server Analysis Services 2005 to perform tasks such as customer segmentation and market basket analysis. The data mining results are presented in the form of new dimensions in cubes and are used in Web applications."
I've read through it a bit and I'm impressed - it doesn't have the "too close to the product" issues that my book has, so many things have better high-level explanations, but you get the detail of how to implement the solution as well.