Christa points us to the The definitive word on SQLCLR. At least I know what I'm having for lunch today...

We've just published another whitepaper on MSDN, Using CLR Integration in SQL Server 2005, about your programmatic choices in SQL Server 2005 - CLR integration, T-SQL and xprocs - and how to choose between them. It is authored by a handful of the folks on the product team that designed & built SQLCLR, so if you want the authoritative take on when to use this feature, this is it.