You'd have to check the readme for each service pack/patch. There's not guarantee for these to be similar to each other.

for the most part, each has a setup program, which can usually be scripted. Not sure about 2005, but the 2008+ should allow command line execution.

We have a list of builds here, and you can link to the KBs for each item.

http://www.sqlservercentral.com/articles/Build+List/71065/

Note that you only need to install the latest SP, not each of them. So SP3 can be installed without SP1 and Sp2. Or you can install SP3 over SP1 and skip SP2.