Sung Hsueh, a former SQL Engine Security team member, just published a whitepaper with co-authors Antony Zhong and Madhan Arumugam on Consolidation Guidance for SQL Server. Though it covers far more than just security considerations, it does outline the pro's and con's of different levels of consolidations (VM's, Instance, Database) in regards to security and compliance requirements. Good discussion of the issues and some mitigations you can take to keep data secure while consolidating.
If you are doing consolidation in your shop, and who isn't, this is a great paper to make sure you've considered everything. Enjoy!
Awesome...but wheres the link?
I've updated Jack's post with the URL.