The best method for extracting data, currently, is to use Report scripts.
See this blog post
http://essbaselabs.blogspot.com/2009/06/speeding-up-aso-extracts.html
Other method would be to use MDX, but as you will see in the blog post, MDX did not render as good a result as the report script.
If this is something you have to do on a regular basis and performance is a factor, you might want to talk to the guys at Star Analytics and look at their product.
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