Look no further than Windows XP Embedded Service Pack 2 Feature Pack 2007 (or XPe FP2007 for those of us who have to talk about it a lot...)

 Windows XP Embedded Service Pack 2 Feature Pack 2007 introduces a host of new components and macro components that enable desktop technologies on Windows XPe.

Component Macro
Component 		Description
.NET Framework 2.0
X
 Includes file and registry resources that enable applications targeting the .NET Framework 2.0 to run on Windows XPe
Microsoft SQL Express 2005 Macro
X
 Includes dependencies that enable installation of SQL Server Express 2005 on Windows XPe
Systems Management Server 2003 SP1 Advanced Client for Windows XP Embedded
X
X
 Contains the SMS 2003 SP1 AC component and the SMS 2003 SP1 AC Prerequisites macro component; the SMS 2003 SP1 AC component includes file and registry resources that make up the SMS 2003 SP1 AC and the Inventory Tools for Microsoft Updates on Windows XPe while the SMS 2003 SP1 AC Prerequisites macro component includes dependencies that enable installation of the SMS 2003 SP1 AC and the ITMU on Windows XPe
Microsoft Operations Manager 2005 SP1 Agent Prerequisite Component for Windows XP Embedded
X
 Includes dependencies that enable installation of the MOM 2005 SP1 Agent on Windows XPe
Windows Update Agent
X
 Includes file and registry resources that provide access to Windows Update Services servers and enable functionality and UI for Automatic Updates and applications calling the WUA API on Windows XPe

There are two types of components -- component and macro component. A component includes file and registry resources while a macro component does not; a macro component instead includes dependencies, which are pointers to dependent components Target Designer will automatically add to the configuration on a dependency check.  Check out Cuong Pham's great Whitepaper on WindowsForDevices (http://www.windowsfordevices.com/articles/AT2922310570.html) for more details.