Aaron Stebner has posted a compilation of links to many great posts about troubleshooting setup issues regarding, primarily, Visual Studio 2005 and the .NET Framework 2.0. It's important to note that much of this is relevant to patch issues, too; though, I suspect you'll see far fewer of these than with previous releases because of the many changes we've made, including removal of most custom code and simplification of our patch wrapper (which is primarily responsible for making sure the patch applies to all applicable installed products without rebooting in between).

Because both Visual Studio 2005 and the Framework 2.0 setup, and the patch wrapper have logging enabled by default you shouldn't have to worry about running setup or installing a patch again to get verbose logs. If you override the logging policy, however, please be sure to make note of the log location and please enable verbose logging by passing in a "v" for either the logging command-line option or in the logging system policy for Windows Installer.