SQL Server 2005 Express SP3 might already be on your system
Early reports indicate that some users running Express <= SP2 are getting SP3 for Express pushed to their system automatically as an important update, rather than recommended, which means that some users are getting it without even knowing about it. Even though the official Release Services blog states that this behavior shouldn't start happening for another two weeks. So just as a warning, if you don't want SP3 just yet (and if it isn't already installed), turn off automatic updates until this gets sorted out. If I hear anything back from Microsoft on this issue, I will post here.
Aaron,
On my VISTA SP1 home PC Microsoft Update is showing both SP3 and the SP2 patch (MS09-004) as important updates for my SQL2005 Express SP2 instance.
Chris