Bob Ward posted a blog entry today where he explains the process of getting a cumulative update for SQL Server 2005 without having to call Microsoft's support team (they are called CSS now but you may remember them as PSS). This is a great evolution in the process, which used to be very difficult (you had to open a support case and be deemed eligible to be issued a CU by a support engineer), and a few months ago they made it a little easier, allowing you to submit a form and have an engineer review it (without a phone call or a formal case), and up to a day later, you got an e-mail providing the download link(s). Now, at least for post-SP2 cumulative updates, the e-mail containing the download is almost immediate.
Makes me wonder why they don't just make it downloadable like a service pack, but in any case, this is a great step forward. You can see his post here: