SP4 can be applied on top of SP2. You do not have to install SP3 first.
After you have installed SP4, you should also install the Security Update that was released in October 2012. http://www.microsoft.com/en-gb/download/details.aspx?id=34848. This is the most recent publicly available fix for SQL 2005 that I know of, and includes all fixes released in CU1 to CU3 and the June 2011 Security Update.
Original author: https://github.com/SQL-FineBuild/Common/wiki/ 1-click install and best practice configuration of SQL Server 2019, 2017 2016, 2014, 2012, 2008 R2, 2008 and 2005.
When I give food to the poor they call me a saint. When I ask why they are poor they call me a communist - Archbishop Hélder Câmara