Well, the equivalent to osql is sqlcmd.

I know it feels like the various tools for MS products are just getting slower and slower, but that's largely because we all have faster machines now... it's considered acceptable enough to have things run slower if they're doing more. Windows Vista requires a much chunkier machine than XP, Office 12 needs more than Office 11, and SQL2005 tools need more than SQL2000 tools.

I tend to start SSMS with Windows, and then it's there, ready to connect when I need it.