Here are a couple of good reads. I will add to the list as I find something interesting. Don't hesitate to add your own via comments. The links are ordered according to my impression, first link being the best read.
1. I don't read blogs or articles that often, my skills are basically from experience and troubleshooting, so believe me when I say that this link is a must read.
http://www.windowsecurity.com/articles/Secure_SQL_Server.html
2. Ever wonder which ports you can and should not restrict? Wonder no more
http://www.microsoft.com/smallbusiness/support/articles/ref_net_ports_ms_prod.mspx
3. How about that new service in 2005? De-mystifying SQLBrowser
http://msdn2.microsoft.com/en-us/library/ms181087.aspx
4. How to make unwanted access to SQL Server 2005 by an OS admin more difficult.
http://support.microsoft.com/kb/932881