I learnt the hard way that it is not possible to slipstream Visual Studio 2008 (embed all patches to the installation kir) - It will just fail to install properly, without letting you know that. So the only way is to install each patch one by one.
What is the right sequence for this? It should include SP1, ATL patch, GDI patch, ...
Also I would appreciate a simple way to check that the latest version is installed (something that could be using inside a build script).
Not sure if these are all but at least are the most important listed in the expected order
I'd install the base installation, then SP1 and then let Windows Update do it's thing.
You don't have to wait for scheduled time, just go to the site and click the "Custom Update" button on the site or the "Check for Updates" link on the control panel. Don't forget to check for the optional updates as well as accepting the high priority ones.
The only drawback with this is that you might have to do a couple of checks to make sure you get everything.