MDX Studio is a great tool developed by Mosha to help in tuning and debugging MDX. This is a Windows application which one can install in a PC / Windows Server.
There is a cut-down version of the tool online as well.
Some of the Features:
a) MDX Execution related Performance monitor values such as Storage Engine (SE) Queries, Memory Usage, Cache hits etc
b) Suggest Best Practice MDX after analysing the MDX
c) MDX visualisation using a Trace Tree
There is a detailed talk done by Ashwani Roy, in the URL below. There is a slide deck and a video you can download from here.