I saw some confusion around the availability and difference of SP1 and CU4 on the web, therefore decided to put on a blog post for clarifying this.
If you compare the contents of CU4 (RTM) and SP1 for SQL Server 2008, you will notice that some patches are not available in SP1. That means that if you already installed CU4 and apply SP1 that you will lose the patches of CU4 that are not in SP1 (some of them did not make it to the RTM of SP1). The near future will bring you CU1 (for SP1) which will include all CU4 fixes as well as additional (post-SP1 fixes).
The Service pack (SQL Server2008 SP1) can be download here: Download details- SQL Server 2008 SP1
The CU4 package can be downloaded here: http://support.microsoft.com/kb/968369
BTW, for those making their rollout easier, SQL Server 2008 SP1 now introduces slipstream-ing:
If you want the whole story and the details, there is a good blog post from PSS about the CU and SP story:
UPDATE: The most recent SQL Server SP1 CU1 is released which solves the confusion as it includes the CU4 fixes. –> SQL Server 2008 SP1 CU1 is out