The concept of Slipstreaming is a very useful feature. It refers to the concept of having a single set of install files for a current version of a product even though updates such as service packs have been issued. An example is Microsoft XP SP2 or Microsoft SQL Server 2000 SP3a. Slipstream versions were created by Microsoft for these Service Pack releases. That way you could install once without having to apply the latest Service Pack - it is already there. This would save time and effort. For instance, some service pack installs take longer than the original installs themselves. For some reason Microsoft SQL Server 2005 does not officially support a slipstream version for SP1 or SP2. Let's hope that changes with SP3. After three years of changes you know this SP will touch almost every part of the product.
To add insult to injury, the SQL Server Service Pack installs are not trivial exercises. I have had various errors occur during the SP install that simply disappear when the SP is applied again. Aren't those the most annoying errors? The ones that you can't recreate. Of course, you tell that to Microsoft support and they won't believe you. But at least it usually works a second time. Case closed.
However, the biggest "gotcha" I have seen with SQL Server 2005 Service Packs is that the Windows Control Panel is "Service Pack Agnostic". Microsoft did a good thing by allowing us to use the Control Panel to add or change components after the initial install. We did not have this before 2005. So, say, we want to install SQL Server Reporting Services after the fact. We can do it via the Control Panel. Or, say, we want to uninstall a component. We can do that too. But watch out if you have already applied a Service Pack. For instance, say, you want to install Reporting Services after having already installed the SQL Server Database Engine AND applied a Service Pack. Control Panel will allow you to add the new component successfully but only at the RTM level. So now your Database Engine and Reporting Services are running at different release levels. But they are dependent on each other. The symptoms are that Reporting Services simply will not work. No error message saying release level incompatible or similar. The rule is that you always have to remember (yourself) to apply the service pack to any new components added after a service pack install. Otherwise things will not work. As I always say, think of it as job security. If SQL Server was easy, there would be no need for DBAs, right?
But if Microsoft give us slipstreaming with SQL Server 2005 SP3, this error for one, will disappear. And we won't be annoyed at all.