SQL Server 2005 doesn’t prompt during install for locations of datafiles and logfiles, meaning they will end up on C:, which you won’t normally want. You can alter the locations during install, but it’s not especially intuitive. Or at least not intuitive enough for me 
To fix them after the event, see http://www.campus.ncl.ac.uk/databases/sqlser/SQL2005/setupsql2005.html and http://msdn2.microsoft.com/en-us/library/ms345408.aspx
and http://msdn2.microsoft.com/en-us/library/ms143547.aspx
Good post, Adrew. BTW, have you or your readers seen anything about SQL Server 2005 Scale-out reporting capabilites? I submit:
http://kevinclosson.wordpress.com/misc/sql-server-2005-scale-out/