(First in another new category of posts, taking questions I get in mail, in blog comments and from our internal support alias's and posting them back out again)
With the exception of express the answer is currently no, let me explain a little.
Historically with SQL 7/MSDE 1.0 and above we have not provided a slipstreamed(thats the term we use at Microsoft but I have heard others call it inlining, single image etc) image of the non embedded (MSDE, Express) SKUs. Its vital for the embedded SKUs as it makes it much easier for ISVs to install. The current plan is not to change that approach, although plans are subject to change.
The primary reasons for not doing it are resource cost and complexity, remember there are > 700 SKUs of SQL Server, if we slipstreamed we would add 700+ new SKUs in every SP. We know we have to ship a pure patch based solution (ie the current solution) but if we slip streamed, it would mean that each SP that followed would need its patch based solution tested against both a patched previous SP and a slipstreamed one so on and so forth. Doing this would massively increase the time required to ship an SP as the team would be struggling under the number of combos, that is already pretty huge.
Now there are alternatives we have been looking at for this going forwards, one would be a chained installer where you would start setup of the RTM bits and then all the SPs would be applied either from media or from Microsoft Update.
We actually have considered this very carefully a couple of times over the last few years, but when we map out the resources to do it, we have always backed away, however as I said plans change, feel free to comment.