What's your concern re. "complex" queries? Can you give examples?
How much data (rows) will you be pulling out?
PI JDBC requires JRE6 support.
We do have customers using PI data w/Cognos. See Techsupport call #304928 - in brief, he ended up using PI as a Linked Server in SQL Server (using PI OLEDB), and connected Cognos to SQL Server using Microsoft's SQL Server ODBC Driver
I would also like to hear more about your "complex query" concern.
Small addition here: in case your version of Cognos does not support the Java Runtime Environment (JRE) version 6 and you cannot use PI JDBC, another option is expose the PI System via one or more Linked Servers in SQL Server (e.g. the SQL Server you use for AF). Then you access it from Cognos using the SQL Server ODBC (or JDBC) driver.