Try to run a SQL Profiler trace on Analysis Services when you refresh the Excel 2003 pivot and look at the MDX query then try to use a native Excel 2007 version of the same pivot and look at the difference in term of both speed and MDX query generated by Excel. The difference is simply enormous. What takes 1 hour with Excel 2003 takes only a few milliseconds in Excel 2007.
I know that it is not obvious to switch to 2007 like that and I am feeling myself the frustration. I will have to wait at least 1-2 year(s) before my employer will even consider upgrading despite the HUGE productivity boost 2007 will bring.
Believe me, I tried all possible cube fine tuning and best practices, Excel 2003 do not care and generates sub-optimal MDX leading to poor performance whatever you do to your cube.
Philippe