This useful post of Karen Watterson has a link to the first chapter of the upcoming book Data Mining with SQL Server 2005 by ZhaoHui Tang and Jamie MacLennan. In the same post there are other useful links to articles and video about Data Mining on SQL 2005.
Originally appeared on: http://sqlblog.com/blogs/marco_russo/archive/2005/09/25/sql-2005-data-mining-articles-and-books.aspx