Scott Mitchell has a good post on database projects in Visual Studio. Helpful for those people still using Query Analyzer or SQL Server Enterprise Manager for all their database development.

Some of the benefits include better source control, using one tool for web dev & db dev, and a better editor. I don't know if I agree that deployment is significantly easier than in SQL Enterprise Manager -- DTS makes it pretty easy, too. Plus did you know that if you highlight a table/proc name in SQL Enterprise Manager and hit CTRL-C, the clipboard is filled with the T-SQL needed to create that entity? Go ahead, try it. Its cool, sortof.

One ohter benefit that Scott forgot to mention (at least in his blog summary) was stored procedure debugging. Without stored procedure debugging, you're stuck with extra PRINT & SELECT statements spread throughout your T-SQL. Being able to launch a proc & debug it using Visual Studio allows for much better development and troubleshooting.