Is it necessary to install SQL Server 2005 Express with Visual Studio 2005/2008 if I already have SQL Server 2005 installed? I'm wondering if SQL Server Express adds any integration that SQL Server 2005 doesn't.
Installing Express with Visual Studio will not give you anything more than Visual Studio with separate installation of SQL Server 2005.
Express is just trimmed-down version of full SQL Server and, while it can be installed side-by-side with full SQL Server, will not bring anything. It is included into Visual Studio installation as convenience only.
Just FYI there are some new features in SQL 2008 that you might be interested in as well as new features in SQL Server 2008 Management Studio. You can use SSMS 2008 to connect to SQL 2005 or 2008 server instances, so even if you don't install the new version of SQL Server you probably will want to download the latest management tools here. The install process can be a bit tricky, but this guide can help get you through it.