Note to self: When I create a SSRS report for CRM, always use "filtered" views in the query for the report - never use the other tables or views. Here is the situation:
I had created a report for use in an Iframe of CRM, and it was getting the error "Select permission was denied on the object ..." and it named one of my tables in CRM. The query ran just fine when I was logged in as the administrator, but when the users got it, it gave me that error. Permissions for objects (entities) in MS CRM are applied to the filtered views in order to enforce access controls to the data. When you view a CRM entity form and the browser tries to render your report in the Iframe, SSRS is using your network credentials to determine which records you are allowed to see.
Dont try to take a shortcut and use base entities or non-filtered views when creating a report - you will be wasting your time. If your database is optimized properly, the report should run just as fast when using the filtered views.