If you are pulling the data from a Cube, then MDX. If you are pulling from SQL Database, then SQL.
If you are going to be working a lot with cubes, I highly recommend learning MDX. It's quite easy to learn, it just messes with your head if you think in SQL terms (two dimensions).
An awesome book to learn from is: http://www.amazon.com/Practical-MDX-Queries-Microsoft-Analysis/dp/0071713360/ref=sr_1_1?ie=UTF8&qid=1394041795&sr=8-1&keywords=mdx
I sat down the whole weekend and read through the book, and became pretty good at writing MDX by monday. This book walks you thought examples, which is quite easy to learn from.