.NET Magazine has an article about SQL Server Yukon in the June 2003 issue.  Besides the usual stuff (C# and VB.NET support for stored procs, UDFs, etc.), there were a few new things:

• Microsoft is going to make it as easy to change where the data-access code executes as changing a namespace.  By changing the System.Data.SqlClient to System.Data.SqlServer, all data-access code will execute on the SQL Server.  I still think being able to execute all data-access code on the same tier as the database will be a huge performance gain.  Watch the TPCC benchmarks!
• SQL Server Workbench is fully-integrated into VS.NET, so you get all the great Intellisense and debugging features.
• Implementing the new INullable interface handles NULL values.  This will eliminate many lines of code that deal with null values.
• XML is a native datatype.  IMO, this will probably be the deathblow to XML-databases, since after Microsoft does it, IBM and Oracle will do it too.  There never really was a need for XML-specific databases anyway.  XML is a way to markup data, not separate it (like the relational model).