I am collecting comparisons between T-SQL code and equivalent managed code inside SQL Server 2005. By now I've got these useful links, in no specific order:

Using CLR Integration in SQL Server 2005
By Microsoft

An Intro to CLR Integration in SQL Server 2005
By Sahil Malik

Choosing Between the CLR and T-SQL in SQL Server 2005
By Randy Holloway

Introducing SQL Server 2005's CLR Integration
By Shawn Wildermuth

SQL Server Chat: SQL Server 2005 Beta 2 CLR Q & A
Sponsored by SSWUG

DBAs Bar Door Against Big Bad .Net Wolf
By Lisa Vaas

User Defined Function performance comparison
By Simon Sabin

SQL 2005: .NET vs. T-SQL, the meaningless performance test

Best regards, ~gux