It's been a long road filled with many shouts of "Are we there yet?", so I'm happy to say that yes, we're there now. SP2 has finally be released. You can find the SQL Express SP2 bits on the SQL Express download page along with several other related downloads. As of this writing, we were having some problems with our publication system, so you may see that the page still says SP1, but the Download links themselves are updated and will actually download SP2. We'll get the page updated as soon as possible so it actually says what you're downloading.
The most significant thing in SP2 for Express is that we have added the ability to provision the installing user as a SysAdmin on SQL Express, which is a requirement when you are running on Windows Vista with UAC turned on. You can read more about this in my previous blog post on the topic.
I mentioned quite awhile ago that we would be putting SP2 on Microsoft Update. Organizing this takes a few extra weeks, but you can expect that the SQL Express SP2 update will be offered via Microsoft Update by the end of March if not sooner. When updating from Microsoft Update, all instances of SQL Express will be updated together rather than having to do them one at a time as you have to do with the UI based version.
Finally, I'm working on creating a new manifest for the VS Generic Bootstrapper that will allow developers to embed SQL Express SP2 with their applications rather than the RTM version that ships with VS 2005. I know many people have been waiting on this update and I hope to have it out by mid-March. I'll post more information in the blog when it's available.