On the topic of environments for creating stored procedures. The .net development environment is a great improvement on preceding environments. Currently I have a database that is being written just using Powerdeigner as the CASE tool and the .net IDE as the SP, trigger, view and test data writter. You can have a solution with nice organised folders each with their own DB connection, all under source control Right click to run the code, move to the server explorer and debug the procedure. (You can use the database as the source of files and have them under source control, but I find it is better to use files outside of the DB)

It still lacks some of the features of Query Analyser but you can see where Microsoft are going.

You can also see that they are not going to implement a totally new ide for writing t-sql when in 18 months time Yukon will be out when I imagine you will be able to use the complete IDE as your SPs can be written in any .net language.