In Visual Studio 2003, each server added to the Servers node of the Server Explorer had a SQL Servers node showing all the SQL Servers on that server. In Visual Studio 2008 this seems to have disappeared (leaving just Event Logs, Management Classes, Management Events, Message Queues, Performance Counters and Services).
I can add a specific database connection to the Data Connections list, but it was very convenient to be able to 'explore' a SQL Server in Visual Studio 2003.