In TFS 2005 running help from tf.exe popped up the MSDN help browser.  That was a bit lame, but we didn't allocate the time to do it right.  That's been fixed in TFS 2008.

Running tf.exe /? produces a list of commands, and tf someCommand /? produces detailed help on that command.

Here are a couple of examples.  These two commands are also new in TFS 2008.

D:\>tf destroy /?
TF - Team Foundation Version Control Tool
Copyright (c) Microsoft Corporation.  All rights reserved.

Destroys, or permanently deletes, version-controlled items from Team
Foundation version control.

tf destroy [/keephistory] itemspec1 [;versionspec]
           [itemspec2...itemspecN] [/stopat:versionspec] [/preview]
           [/startcleanup] [/noprompt]

Versionspec:
    Date/Time         Dmm/dd/yyyy
                      or any .Net Framework-supported format
                      or any of the date formats of the local machine
    Changeset number  Cnnnnnn
    Label             Llabelname
    Latest version    T
    Workspace         Wworkspacename;workspaceowner

D:\>tf folderdiff /?
TF - Team Foundation Version Control Tool
Copyright (c) Microsoft Corporation.  All rights reserved.

Displays a visual representation of the differences between files in two server
folders, in a server folder and a local folder, or in two local folders.

tf folderdiff [sourcePath] targetPath [/recursive] [/noprompt]
              [/server:serverName:port] [/filter:filter]
              [/filterLocalPathsOnly]
              [/view:same,different,sourceOnly,targetOnly]