I'm currently working with a few folks on defining what the setup experience for the next version of Visual Studio should be.
If you ran into some pain points installing VS and have ideas on what you'd like to see, please post a comment or feel free to contact me. (click on the contact link on the right side of my blog).
If the install was painless and you don't remember it, we atleast did a good job for VS 2005 :)
If you have general suggestions for VS Setup, feel free to post a comment as well.