A small but persistent group of developers has been asking for SQL Server Express to be released on media, most commonly from those folks who live in areas without broadband Internet (yes, there are still such areas) for whom downloading an 80 MB package can be an endurance challenge. One of the benefits of the new setup framework in SQL 2008 is that you can now order a DVD that will allow you to install SQL Server 2008 Express. Don't go looking for the SQL Server Express DVD though, because you won't find it – rather, you just order one of the SQL Server Evaluation DVDs and install SQL Server Express from that.
You can start the process by navigating to SQL Server Trial Software page and clicking the "Download It Now" button for your chosen discipline. Have no fear; you will be presented with the option to choose between downloading and ordering on the next page. One caveat here, ordering the media is only available for folks in North America (sorry, I don't make those decisions). During the installation of SQL Server 2008 you are given the option to choose which edition you want to install and/or provide a Product Key. Lacking a Product Key you are allowed to install any of the free editions of SQL Server 2008. The edition combo box is defaulted to SQL Server 2008 Evaluation, but if you drop it down, you will find that SQL Server 2008 Express and SQL Server 2008 Express with Advanced Services are also available. Pick the edition you would like to install and you're on your way. Even though this is the Evaluation DVD, SQL Server Express does not have any kind of time bomb and it will function exactly the same as if you installed it from the downloadable package. Don't forget to register your copy of SQL Server Express.