Regardless of version of SSRS (2005 or 2008), it is not possible to combine different datasets e.g. SQL Server database dataset, SSAS cube dataset, and XML feed.
Some ways to achieve this would be to do this in the database during the data source retrieval.
Use Linked Servers/CLR Routines/OPENROWSET/OPENDATASOURCE options to combine the dataset.
Another option if you want to use different datasets, but only want to display the data separately (i.e. not in the one data region), use Subreports.