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I worked on Data Mining solutions years before Microsoft added it to Analysis Services. It is an interesting domain for everyone, but it becomes really hard to explain how it works when you scratch the surface. At the last TechEd Developers I watched a great presentation held by Rafal Lukawiecki - it was a level 400 session but he's able to explain the concepts very well, going deep at the right time. Now, there is a complete for part series recorded and available for free here: http://www.microsoft.com/emea/spotlight/sessionh.aspx?videoid=865
It is a valuable resource and you cannot afford to stay away from Data Mining very long if you are into the BI deal.
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About Marco Russo (SQLBI)
Marco Russo is a consultant, writer and trainer specialized in Business Intelligence with Microsoft technologies. He runs the SQLBI.COM website, which is dedicated to distribute resources useful for BI developers, like Integration Services components, Analysis Services models, tools, technical information and so on. Marco is certified as MCT, MCDBA, MCSD.NET, MCSA, MCSE+I.