SQL Server 2005 keeps alot of good information in the dynamic management views about this kind of thing. Below are the 2 main queries I use to find slow running application queries in our systems.

Queries taking longest elapsed time:

SELECT TOP 100

qs.total_elapsed_time / qs.execution_count / 1000000.0 AS average_seconds,

qs.total_elapsed_time / 1000000.0 AS total_seconds,

qs.execution_count,

SUBSTRING (qt.text,qs.statement_start_offset/2,

(CASE WHEN qs.statement_end_offset = -1

THEN LEN(CONVERT(NVARCHAR(MAX), qt.text)) * 2

ELSE qs.statement_end_offset END - qs.statement_start_offset)/2) AS individual_query,

o.name AS object_name,

DB_NAME(qt.dbid) AS database_name

FROM sys.dm_exec_query_stats qs

CROSS APPLY sys.dm_exec_sql_text(qs.sql_handle) as qt

LEFT OUTER JOIN sys.objects o ON qt.objectid = o.object_id

where qt.dbid = DB_ID()

ORDER BY average_seconds DESC;

Queries doing most I/O:

SELECT TOP 100

(total_logical_reads + total_logical_writes) / qs.execution_count AS average_IO,

(total_logical_reads + total_logical_writes) AS total_IO,

qs.execution_count AS execution_count,

SUBSTRING (qt.text,qs.statement_start_offset/2,

(CASE WHEN qs.statement_end_offset = -1

THEN LEN(CONVERT(NVARCHAR(MAX), qt.text)) * 2

ELSE qs.statement_end_offset END - qs.statement_start_offset)/2) AS indivudual_query,

o.name AS object_name,

DB_NAME(qt.dbid) AS database_name

FROM sys.dm_exec_query_stats qs

CROSS APPLY sys.dm_exec_sql_text(qs.sql_handle) as qt

LEFT OUTER JOIN sys.objects o ON qt.objectid = o.object_id

where qt.dbid = DB_ID()

ORDER BY average_IO DESC;

Once you see the queries that have the longest elapsed time or most I/O, you can then look at the execution plans of those particular queries to see what inefficiencies are there, and look for possible places to improve indexes or even rewrite a query using a different approach.