It took me a month, but I finally figured out how to get SP1 for SQL Server 2005 installed on my test server: by installing SP2. I was getting errors (something about Debug registry and some other stuff) from setup on the Database Engine upgrade for SP1. So I tried going directly to SP2, and got a new error. Turns out I had to delete the msi file from C:\Windows\Installer that was mentioned in the log file. Not sure if that was the problem for SP1, but SP2 is cumulative, so whatever.
UPDATE Feb. 19, 2007: SQL Server 2005 SP2 RTM has been released!