This can be achieved in TFS 2008 via the Visual Studio Team System Web Access.
First you need to open an individual Changeset details. This can be done for example by looking at a build (the Builds tab), and selecting one of the changesets associated with the build.
For some reason the version of Web Access I currently have at hand had a bug in that the link into a Changeset webpage is missing the changeset number. A quick manual fix of the URL helped.
This is the URL that is linked to
http://tfsappserver:8090/UI/Pages/Scc/ViewChangeset.aspx?changeseturi=vstfs:///VersionControl/Changeset/8695
Notice I needed to add the changeset parameter manually.
http://tfsappserver:8090/UI/Pages/Scc/ViewChangeset.aspx?changeseturi=vstfs:///VersionControl/Changeset/8695&changeset=8695
The page lists all the code files that has changed and for each file you can compare it with another version. The comparison option is available from dropdown menu on the file.
Here is what it looks like: