My favourite feature in VS2005 is that when you connect to a remote site with FP Server Extensions, it can actually remember your password. That was so annoying in VS2003 and before (all the way back to Visual InterDev, actually).

I also like the way I don't have to compile websites myself with the new ASP.NET model, and the way VS2005 handles references on websites. I use more than one computer, and more than once with VS2003 I'd end up compiling the website on the wrong computer, with the wrong version of some dependency and breaking the website for a few days until I could get at the other computer. VS2005 doesn't try to randomly pluck whatever version of an assembly happens to be on your harddrive and compile the site with that, it sticks with what you uploaded.