In TOAD (for SQL or Oracle), there is a simple AUTOFORMAT button that will nicely format your query - I couldn't find that option in SSMS 2005, but was advised by a co-worker that it was available in SSMS 2008. I am unable to locate the option there either.
This is VERY helpful when pasting a query from another source.
Thanks for any assistance.
SSMS 2008 has a feature called intellisense, which is really an auto-complete tool. It only works when connected to a 2008+ server, as well. There is no built in code formatter/beautifier.
You can get this add in, though: http://www.dpriver.com/products/sqlpp/ssms_index.php. It does exactly that.
If you do not register it, it will pop up a dialog from time to time asking if you would like to register, but the functionality remains unrestricted forever.
Highly recommended tool!