There are so many things that have been improved a forum post won't do it justice. Just on the security side, some of the important changes:
- User-Schema Separation
- Security Context Switching
- No direct access to system tables
- Encryption (built-in)
- Service broker
- Ability to configure the "surface area" of SQL Server
- Ability to lockdown connection mechanisms
And that's just the surface. Here is an overview from Microsoft:
What's New in SQL Server 2005
K. Brian Kelley
@kbriankelley