Recently I was working on a project that called for Reporting services, and I ran into a couple of annoying issues with using it on Vista (x64, not sure if it behaves similarly on x86 versions). 

The first issue I ran into was setting up the Reporting Services server with SQL Server Express 2005 Advanced and IIS 7.

Basically if you're trying to set up the Reporting server with Integrated security, don't.  It doesn't work.

You need to install SQL Server 2005 in mixed mode.  You'll need to create a SQL User for logging into the reporting services databases.  And when you configure reporting services for IIS 7, use this user for your SQL connection.   You can leave your .config files for the web site as user Impersonate, as long as that user has access to the reporting services directories.

The Second issue is with using the Report Viewer with Visual Studio 2008.  I don't know if this is an issue with other configurations, but I ran into it when I was using forms authentication.

You need to include a security exclusion for the ReportViewer, else VS 2008 will CRASH when trying to run a report.

Here is the Security config line I used.  Modify as needed.

<location path="Reserved.ReportViewerWebControl.axd">
    <system.web>
        <authorization>
            <allow users="*"/>
        </authorization>
    </system.web>
</location>