I have worked with several customers that want .NET Framework 2.0 SP2 but do not want to either require their customers to install .NET Framework 3.5 w/ SP1 or do not want to do it themselves.
Well due to the way it was packaged up until this point that was the only way to get it. However ask of just the other week they finally released a standalone installer for .NET Framework 2.0 Service Pack 2:
This is great news and will make the deployment a bit easier for people on Windows XP and Windows Server 2003. For Vista and Windows Server 2008 you still have to get .NET Framework 3.5 SP1 installed to get .NET Framework 2.0 SP2.
Finally, make sure that you also install the following update - http://support.microsoft.com/kb/959209. This update fixes some of the known issues that have been found with the service packs since their release.
Have a great day and happy installing!