At the moment, I am working on integrating MOSS and Dynamics Ax, so you can expect some updates on this topic the next few weeks.
If you want to use the out-of-the-box integration, you can either create SharePoint sites using the Dynamics Enterprise Portal site template, or you can register the site in Ax to be able to use the Dynamics Web Parts in your existing SharePoint site. For my situation, I needed this last option, but when testing this, I regularly got the next error:
This site is not found in the SharePoint configuration database.
The solution for this problem may or may not be very simple... If you're lucky, just remove the slash at the end of the url and you shouldn't get the error anymore. With other sites, this won't work though and I haven't found the solution to this either, so if you were able to solve it, feel free to let me know how you did it!
Update: Also check your casing. This seemed to work in my situation…