Does anyone have experience of using PostgreSQL for an OLAP setup, using cubes against the database etc. Having come across a number of idiosyncracies when using MySQL for OLAP, are there reasons in favour of using PostgreSQL instead (assuming that I want to go the open source route)?
There are a number of data warehousing software vendors that are based on Postgresql (and contribute OLAP related changes back to core fairly regularly). Check out https://greenplum.org/. You'll find that PG works a lot better (for nearly any workload, OLAP especially) than MySQL. Greenplum and other similar solutions should work a bit better than PG depending on your data sets and use cases.
PGSQL is much better suited for Data Warehousing compared to MySQL. We had thought initially to go with MySQL, but it performs poorly in aggregations if data grows to a few million rows. PGSQL performs almost 20 times faster in caparison with MySQL for 20 million records for a single fact table on same hardware setup. If for some reason you choose to go with MySQL, then you should use MyISAM storage engine for fact tables rather then InnoDB; you will see slightly better performance.
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