It's rare that a cube will contain transaction details. So once a user drills down to the bottom of a cube, it's common to want to see the transactions that comprise a given value. That's what drillthrough is for, or at least that was the case in the old days.
But alas, though SQL Server Analysis Services 2008 as a whole has made big strides forward, such is not the case with the drillthrough feature. Starting with AS 2005 and carried forward in 2008, drillthrough is not very useful.
Here is a good explanation of the drillthrough architecture. In short, drillthrough no longer executes a sql query; it merely issues a detailed query to the cube. Think of it as a bulk drilldown, not as drillthrough.
Also bear in mind, there's no ability to drillthrough calculated members/cells, which is understandable. Nor can you drillthrough when there's a multi-select, which is not so understandable.