Its a bugger to install

You need to be on sps  2003 sp2 for it to work

Like the others have said, it's difficult to install, but after the installation it works fine. You do need to have SPS2003 SP2 installed in order to use SQL2005. The way that i did this was install SPS2003, and when the browser opens for the configuration step close the browser. Install SP2, and then run the SPS System Administration from the Admin Tools menu. Then perform the configuration as you normally would with SQL2000. Install SQL 2005 before you get started with the SP install.

The only other issue you get is with the backup and restore client for SharePoint. If it is single box then it should be OK, if your SQL 2005 server  is another server then you will need to remove the SQL 2000 Client Tools and install the SQL 2005 ones in order for the backup and restore functionality of SPS2003 to work. Apart from that works like a treat.

Are there any good intructions/steps to change an existing SPS2003
SP2 installation to use upgraded (SQL2005) databases? We won't re-
install but were told upgrading to SQL 2005 first would be a good
step towards a MOSS upgrade next year.

I have not come across any in-depth instructions on how to upgrade from SQL 2000 to SQL 2005 for SharePoint 2003 SP2. For myself I just did it as a test on a VPC when it first came out and never looked back since. So far in the past installs I have done since it has worked fine with no problems. As far as upgrading before going to MOSS good idea but remember you can still run MOSS on SQL 2000 if you want to. Could be an idea to upgrade to MOSS, install a new DB server  and backup and restore the DB’s to the new SQL 2005 server and then re-point MOS to the new server. Just an idea really. It is much safer however to do the DB upgrade than the MOSS upgrade, this is only due to the fact that MOSS isn’t fully released yet and of course not many people will have actually done an upgrade. I can tell you it does work really well though.

I believe we have a white paper on the SQL upgrade part in our premium content area, www.mindsharp.com.