It looks like Sandcastle has now moved to codeplex.
I've been looking at CI (primarily using CC.NET) a lot over the last few months and have been encountering issues with NDoc (given that it is no longer developed and there was never a proper .Net 2 release). I looked at Sandcastle a while back and wasn't happy with it (it seemed like it needed too much work to get working and it was slooooooooow).
I tried the last release and thanks to community projects like Sandcastle Help File Builder was able to easily hook it up to CC.NET. I ran it against a codebase that took 4 hours to generate documentation and that time was cut down to 20 minutes (so some definate improvements on that end).
Some things that still cause me some pain (could be Sandcastle Help File Builder):
It doesn't like interop assemblies (fails on my setup)
It requires your projects to have xml generation on (not a big deal I know but can be to some people)
Dependencies list (I wish there was an option to automatically detect this)
Speed (It still seems slower than NDoc)
Anyway haven't tried this latest release so let's see if things are even better (Msft have introduced a GUI in this release but mention it is not intended to compete with community projects).
UPDATE: Sandcastle Help File Builder (http://www.codeplex.com/SHFB) are coming out with an update for the latest release on the 22nd. I've not tested the latest version of Sandcastle yet (waiting on SHFB as the old version isn't compatible with the January release) but I hope that the BuildAssembler.exe improves as right now it is using up 837MB of memory and 50% CPU utilisation on a build server as I write this!!