I'm always installing SQL Server or talking to customers about installations and the topic comes up of which version am I on, or what version should I be on ?
A fellow MVP, Bill Graziano has lovingly compiled and maintains a list of version numbers and how they map to SP and CU level. Its a must for the favourites!http://www.sqlteam.com/article/sql-server-versions
Another common question is should I apply the CU and the latest SP ?
Well applying a SP is a no brainer as Microsoft only supports an old service pack for 12 months since the release of the last one, so your patch management strategy needs to apply the latest service pack in a reasonably timely fashion.
Cumulative Updates are more complex. Obviously if it is a critical security patch this needs to be applied ASAP. Apart from that you only NEED to apply a CU if you are affected by something it addresses. However, especially with SQl 2005 SP2 and CU 11 it is nearly impossible to read through the release notes and identify if you will be affected, so for most installs I recommend the latest CU level.
For SQL 2008 the Cu can be slipstreamed for a smooth install as per here http://blogs.msdn.com/petersad/archive/2009/04/24/sql-server-2008-slipstream-frequently-asked-questions.aspx