Even if you build what you believe to be the perfect BI application that presents every posible key preformance indicator, you can't actually expose it to end users without upper mangement's approval. That would be kind of like a medical lab technician building a vaccine for cancer in his basement without anyone's approval or oversight; how would he validate the end result and what would he do with it once it's "done"?
I think that every database developer or data analyst has this library of canned SQL scripts that we've used in the past to run ad-hoc reports against production for management. We know they work, because we've supplied the result to management in the past with positive feedback. If you want to get your feet wet with the new BI gadgets in SQL Server, you can intall Analysis Services or SSRS on your local workstation and build an OLAP cube or report off of this.
Just remember the topic from yesterday, it's not a good idea to be copying data from the production database into other external data stores without prior approval. We hear stories all the time about developers or contractors who lose their laptop, and then the bombshell drops that it contained a dump of sensitive client or customer data. Also a "skunkworks" database server probably won't have the same security controls in place as the production server, because you're doing it behind the back of those people who need to know. If there were a security breach, there is no doubt who's head would get axed.
"Do not seek to follow in the footsteps of the wise. Instead, seek what they sought." - Matsuo Basho