It's pretty well understood that it's highly desirable to keep servers lean and mean. But what do you do when you need to use a tool, particularly if it is needed only once? You could install the utility application and then remove it, but that does introduce risk. Virtual applications provide the answer. You can actually run an application without installing it.
There are two basic classes of virtual applications: agentless and those that require an agent. Microsoft Application Virtualization (formerly SoftGrid) and Altiris Software Virtualization Solution are well known examples of application virtualization that use an agent. In order for the virtualized applications to work, an agent must be installed on the machine. The agent provides a boundary, a sandbox, in which the application runs without interfering with what's installed on the machine. Agentless virtualized application solutions create a single, self-contained executable that runs without being installed and without elevated permissions. The application is isolated from the host it is running on and doesn't interfere. Examples of agentless virtualized application products are Xenocode and VMware's Thinstall. Trigence offers agentless application virtualization, but they haven't made it possible for me to evaluate it.
For a database server, the objective is to change it as little as possible. That's why I prefer agentless solutions. A large assortment of agentless virtualized applications can be downloaded from www.thindownload.com. Another agentless solution worthy of consideration is Portable Apps. While technically not fully virtualized applications, the applications that are included with or can be added to Portable Apps run without being installed. This makes the Portable Apps suite a quite useful suite of tools for servers. I copied the Portable Apps suite to a Corsair high speed USB memory stick. You can use any USB memory stick, but I did notice a considerable performance improvement for high speed sticks compared to tradeshow freebies. Last week I needed to compute a MD5 hash for a SQL Server installation iso file. I inserted the USB stick and ran winMd5Sum without installing it or in any way messing up the server.
Virtualized applications are also great for application testing, but that's a story for another day.