In addition to the 64bit support being a web-only download, I should have also noted that for similar reasons, the Devices version of SQL Server Compact 3.5 SP1 is also only available as a web download. 

Why:  Because of the multiple platforms, the download is ~22mb.  That's a big chunk for the Visual Studio Service Pack to include while not everyone may have installed the Smart Device extensions.  I wish things were more flexible so we could have incorporated this into the VS SP1 for an auto-prompt for extra downloads, but I must say, I've been very impressed with the quality of the installer of the 2008 SP1 experience compared to the 2005 SP1 experience.  Sometimes simpler is better...

Steve