You can install the build agent (aka Build SKU) without going through the setup UI if you do the following. Thanks to Tony Edwards for this information.
Edit the msiproperty.ini. Note that as of Beta 2, the ones that are in there are bogus and are not used. You have to add two new ones. This will be fixed before the release of TFS 2008.
If you then run setup silently,
all of the chained installers get invoked silently and the install succeeds.
Unattended installation is also supported for Team Explorer. It's not supported at the moment for the TFS server setup.