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    1. CO"...set up the server that you are targeting as a linked server on the server that has the database that the dataset is connected to originally." <- This is key: the query is still executing on the server specified in the original connection. This is a nice work around, but to answer the original question directly: No, you can't change the datasources at run time. Another workaround would be to define all the possible datasources and appropriate queries for each. Then you can select which dataset you display. (Other datasets won't be executed until they need to be displayed.)
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    2. COThis is a good solution except that I have literally hundreds of different databases on different servers. It is a lot of work to maintain all those linked servers. I think upgrading to SSRS 2005 or greater and using the expression based connection strings is the solution to my problem.
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    3. COSorry, I've been doing it for so long I just assumed SSRS had always allowed this. In that case, I think the solution is to create a thin data processing extension as you suggest. We did this to query an ASP.Net MVC ReST API we created and while it isn't trivial, it isn't as difficult as you might think and there are some good examples on the net to get you started. As you are just passing your server and database as parameters and the SQL as the command text it would be fairly simple and is probably the way to go. I'd still set up servers and databases in a table for easy parameter selection.
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