The Data Collector feature in SQL Server 2008 is a new way to automate the gathering of any data from SQL Server you want to store historically. Combine that with the Management Data Warehouse and Custom reports, and you have a powerful monitoring and tracking system for multiple servers.
You get three Data Collector Sets out of the box with SQL Server 2008, but you can make your own as well. One way is to right-click a Collection Set and script it to a query window. Make your changes and you're ready to create your own collections.
But there's another way that's even easier. Open Profiler, and create any trace you're interested in. When you're done, just click File | Export and then export the trace as a Collector Set. Open that file and run it - and there you have it!