For as long as I can remember, Windows service packs have been cumulative – i.e. if you install the most recent service pack, it includes the earlier ones. Unfortunately, Microsoft has broken that model with Windows Vista and Server 2008 service pack 2 and it won’t install on a Vista computer until you have installed service pack 1.
Whether this is a technicality from the single service pack being applicable to both client and server editions of Windows or because Microsoft has a new approach to service packs is yet to be seen.
At least Windows Server 2008 administrators will find life a little easier as service pack 1 was integrated into the RTM release of that operating system.