We are a 60/40 SQL 2005/SQL 2000 shop - yes I agree that testing each and every CU is a pain and not possible with over 330+ instances - we go with a new CU anywhere from 3-6 months (unless there is a compelling need). Right now on SQL 2005 we are either at CU 3 or CU 4. As for 2000, well SP4 and a few hotfixes depending on the application

However SQL 2005 SP4 is an absolute must in my opinion.

The primary reason is that we have no intention of looking at SQL 2008. As for SQL 2008 R2, well not at least until until at least SP2 !

Who knows, by that maybe we'll be at SQL 2012 and can play 'the game' again !!!