That's not entirely true. You can grab the DLLs from the SharePoint server
and put them on your workstation; you won't be able to test your app
locally, but you can develop and compile.
For what it's worth, I've created a Hyper-V development server image with
MOSS and VS2008 all installed; it's a great dev/test environment, and I can
easily spin up another copy if I need it.