First and foremost, talk with your users. They'll often have a lot of vague ideas, many of which are focused on a specific "pain point" for them, that when analyzed will show you a "big picture" problem that is both easier to solve from an OLAP persepctive, and will serve more people in the long run. In other words, you need to talk with your users, but talk lots with all of them, then think through those discussions. The results will often surprise you!
The limitations of each product are specific to that product. I don't know of any generic "OLAP Limitations" that apply to every product that is available.
THere's also a couple of database installments in these tutorials that may help as well.
"Lisa, in this house, we obey the laws of thermodynamics!" - Homer Simpson
"I have my standards. They may be low, but I have them!" - Bette Middler
"It's a book about a Spanish guy named Manual. You should read it." - Dilbert