When deploying Reporting Services in an environment that requires more than one server, such as a scale-out deployment or a deployment in a server farm, you may need to configure Kerberos authentication. Kerberos is particularly important when you require domain accounts to authenticate users but don’t need to pass user credentials to the database that is making the server connection.
The following whitepaper covers how to configure, manage and troubleshoot Kerberos authentication in a Reporting Services 2008 (native and SharePoint integrated mode) environment: http://msdn.microsoft.com/en-us/library/ff679930.aspx
Update (July 18):
A new whitepaper for Configuring Kerberos Authentication for SharePoint 2010 products has just been released. Section 4 of that whitepaper explains identity delegation for Reporting Services.
I need to get my hands on the 2008 R2 version please.
As mentioned in the blog posting, the work for the SP 2010 / RS 2008 R2 whitepaper is in progress. You can check back on my blog - I'll add another posting when it is available.