Here's a brief list, without detailed explanations :-

- XML support for reading and writing metadata and data.
- Web application designer: graphically design and publish web reports and web applications.
- Open Hub Service for distributing data to other tables/systems on a schedule.
   It supports selection, projection, and aggregation. Integrated into the BW monitor.
- Process Chains and graphical scheduler for automating complex processes.
   Supports branching, condition testing, etc. Enables you to schedule all admin functions in a graphical, drag-and-drop
   fashion, including extracts, index drops and rebuilds, activating data, compressing, rolling up to aggregates, etc.
- Transactional ODS objects with read/write API.
- Transfer rules for hierarchies.
- Subtree insert and subtree update for hierarchies.
- Active attributes on hierarchies (sign flip, etc.)
- Load, stage, and merge master data to ODS.
- DB Connect Service allows BW to extract data from any DBMS supported by SAP R/3.
- Formula editor in transfer and update rules to avoid ABAP coding.
- Toolbox of standard transformations such as substring, look up data in a table, concatenate, offset and length, 
   arithmetic operations, etc.
- Parallel loading into a single ODS object.
- Secondary index maintenance for ODS objects built in to BW Admin Workbench.
- Multiprovider: Use ODS objects, master data, and cubes in a multicube (now called multiprovider.)
- New InfoSet Concept: join tabular data together and make it available for reporting. You can join ODS objects,
   master data tables, etc.
- Archiving: Built-in tools to archive data on a schedule using selection criteria.
   Integrated into BW monitor; archived data deleted from InfoCubes and corresponding aggregates. 
   Support for re-loading data from archives as necessary.
- BW Monitor includes all activities of process chains, open hub service, and archiving.
- Use multiple hierarchies in a BW query.
- Use a mix of hierarchies and characteristics on rows or columns in a BW query.
- Use restricted key figures in a calculated key figure.
- Generate static, offline web reports.
- BEx Cell Editor: In queries with two structures, you can now reference cells at the intersections of rows and columns.

FAQ
SAP BW FAQ

SAP Business Warehouse Books
SAP BW Books - Certification, Interview Questions and Configuration

SAP BW Tips
SAP BW Tips and Business Information Warehouse Discussion Forum

Best regards,
SAP Basis, ABAP Programming and Other IMG Stuff
http://www.erpgreat.com