SQL 2008 VS. SQL 2005

Arguably the most potent tool for DBA's in 2008 would be Policy Based Management. Tom LaRock did a nice 3-video walk-through with Brent Ozar which you should probably check out:

http://tomlarock.com/?s=policy+based+management

I also cover PBM in my blog/talks/presentations

http://sqlchicken.com/category/policy-based-management/

My PBM fanboy-ism aside, here's the list to all the new features available in SQL 2008

http://www.microsoft.com/sqlserver/2008/en/us/whats-new.aspx

PBM is nice as Jorge has mentioned. From the security side, the Audit object and Transparent Data Encryption are also nice, but both require Enterprise Edition.

For me, the single most important enhancement is the sys.sql_expression_dependencies system view - at last a dependencies view that isn't broken.

A close second comes filtered indexes - but really SQL Server is on catch up in that arena with regard to other DBMSs.

Well, I've used the Date & Time datatypes, compound operators ( @i += 1 ), GROUPING SETS, MERGE, Row constructors and the enhanced Declare.

The enhancements to SSMS2008 over SSMS2005 are fairly significant, I especially like adding missing index information to execution plans and the addition of intellisense. The ability to query multiple servers at once is very useful in some limited situations. http://www.sqlservercentral.com/articles/Management+Studio/63536/ provides an introduction to some of the SSMS enhancements.

Also, small tweaks to TSQL such as the ability to initialize a variable when it is declared are nice in a readability sense.