Calculations can be incorporated into Excel pivot tables using a free add-in for Excel, OLAP Pivot Table Extensions. It's available from codeplex.

I also confirm performance problems with both Cognos 8 and 10 against SSAS cubes. Essentially, the MDX queries from Cognos are written such that all members of each dimension used in a report are retrieved then mashed up within the Cognos query engine. This approach bypasses the performance advantages gained by allowing SSAS to determine the intersecting data points between dimensions for example by using the non empty function in the MDX query.

In Cognos 10, there is something called DQM, data query manager, which is supposed to address the performance issues by having the dimensional mashup processed in memory. However, DQM does not yet support all of the possible features of an SSAS cube such as named sets so it cannot be used at this time unfortunately.