Sometimes it is difficult to determine which fix is included in which SQL Server Service Pack, Cumulative Update or even build.

There are a number of Knowledge Base Articles (KB) that list this very nicely.

SQL 2005 builds released after SP2: http://support.microsoft.com/kb/937137
SQL 2005 builds released after SP3: http://support.microsoft.com/kb/960598


SQL 2008 builds released after RTM: http://support.microsoft.com/kb/956909
SQL 2008 builds released after SP1: http://support.microsoft.com/kb/970365

And the above pages are all listed here: http://support.microsoft.com/kb/957826