It's interesting to jump back and forth between both programming models as lately I've been working on a decent size SQL 2K database (4M+ rows). Personally, I'm a Query Analyzer guy and I do all my SQL work there. I'm used to having IntelliSense in VS, which is annoying not to have in QA, but for some reason I live with 8pt fonts for queries, but I couldn't stand it in VS. Go figure. In any case here are my dream SQL Tool programming features:
DTS support for Importing XML
Data Validation Rules
Unit Test Support
Source Control for Stored Procs, Views, Triggers, Functions
My dream scenario: I would be able to import data using XML Bulk Insert through a wizard, run some validation code pre/post load, create a stored proc and refactor it automatically, generate unit test stubs for the stored proc, validate via FX Cop and then check in my code to some source control mechanism.
For the DB programmers out there, what other dev tool IDE features do you miss when writing SQL code? Are there any cool tools/add-ins that have the features I listed above that I might not know about?