1)An object data source may not appear in the Website Data Sources window when you try to set the object data source for a SQL Server 2005 Reporting Services report in Visual Studio 2005. I couldn't understand why the buttons in the Website Data Sources window were greyed out. It turns out to be a known bug and the hot-fix for it is at http://support.microsoft.com/kb/939768
2) The 'XXX' parameter is missing a value : There are loads of posts for this and none of the posts I read supplied the resolution that fixed my particular problem. I was trying to set the parameter of a local report in the page load handler. When I views the page I kept getting the error message. When I tried to set a breakpoint, the code was not being hit, which lead me to believe that something fundamental was happening way earlier in the process. I reasoned that there was a null check being carried out and failing the code before my code to set the parameter was being called. I wondered if there was any way to allow nulls, and there was (is).
In the Report Parameters dialogue box there is a Check box labelled Allow null value. Selecting this solved my problem.