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Report scripts are great if you need small data set in particular format but it dies when exporting large data set.
Data export is much more reliable and faster (at least in my experience, I have experienced up to 40GB data exported from Essbase app) but it has limited formatting options as compare to report script. But you can Fix on the dimension members for which data needs to be exported or run some calculation (e.g. Aggregation) before data is exported.
As far as writing to data directly to relational table is concern, I have not implemented it anywhere but in one of the test it took much longer to write to a relational table than writing data to text file (with batch insert and setting DEXPSQLROWSIZE=1000)
If you want to export complete database, you can also use MaxL and EssCmd commands.
More details on data export in calc script http://docs.oracle.com/cd/E17236_01/epm.1112/esb_tech_ref/frameset.htm?launch.html