I did this about two months ago for a project that needed SQL Server
2005 for its improved BI capabilities, but was also going to use
SharePoint 2003. Rather than have two separate database installations
(2005 for BI and a separate 2000 SP3a just for SharePoint), I found a
document online that walks through a somewhat odd procedure:
http://support.microsoft.com/kb/917446 .
Basically, you have to install SPS 2003 but, in the middle of the
installation process, before you allow the creation of a content
database, you have to stop, install Service Pack 2 for both WSS and
SPS (in that order), and then continue with the installation.
Evidently, if you don't install the Service Packs in time you'll fail
when creating the content database.
For what it's worth, I haven't had any problems so far with using the
same SQL Server 2005 installation for both SharePoint content
databases and Analysis Services/Reporting Services. The two are
unrelated, so I wouldn't expect problems, but you never know until you
try.
I was surprised to find the BI tools relatively easy to pick up (I
admit I did have an excellent consultant helping me), although the the
Reporting Services Web Parts weren't very good. It seems that Report
View Web Part just loads a report page into a Page View Web Part. I
could never get the graphs in a report rendered in a usable way.