In SQL Server Management Studio, the screen where you choose which SET options to enable for all connections appears to be left over from SQL Server 2000. I know there are a lot of different dialog boxes available through the Tools | Options menu, but I find it amazing that this one was completely overlooked when updating the old Enterprise Manager GUI.
Here's how to get to the dialog:
Tools | Options
Then expand Query Execution to SQL Server and then to Advanced...
The list of the set options to enable does not include anything new in SQL Server 2005.
1. It does not include SET SHOWPLAN_XML or SET STATISTICS XML (but includes SHOWPLAN_TEXT)
2. Transaction Isolation Level does not include SNAPSHOT
3. Deadlock Priority only allows NORMAL and LOW, not the numbers -10 to 10, or the value HIGH
(see my earlier post: http://sqlblog.com/blogs/kalen_delaney/archive/2006/09/09/192.aspx )
Maybe there are others that I haven't noticed yet.
So now you know...