I'm very excited about the new Management Data Warehouse coming in SQL Server 2008 (which was called Performance Studio at one point), but keep in mind there are lots of available tools in the current versions.
One of the students in my class last week put together this list of his favorites. Note that some of the tools can be used together. For example, the PSSDIAG collection utility output can be pumped into SQL Nexus for nice reporting and analysis.
RML Utilities for SQL Server
http://support.microsoft.com/kb/944837
http://www.microsoft.com/downloads/details.aspx?familyid=7EDFA95A-A32F-440F-A3A8-5160C8DBE926&displaylang=en
SQL Nexus
http://www.sqlnexus.net/
PSSDIAG Data Collection Utility
http://www.microsoft.com/downloads/details.aspx?FamilyId=5564386A-28C2-4483-8293-76FFF67B9EB3&displaylang=en
Description of the SQL Server Performance Analysis Utilities Read80Trace and OSTRESS
http://support.microsoft.com/kb/887057
SQL Server Health and History Tool (SQLH2)
http://www.microsoft.com/downloads/details.aspx?FamilyID=EEDD10D6-75F7-4763-86DE-D2347B8B5F89&displaylang=en
Performance Dashboard
http://www.microsoft.com/downloads/details.aspx?familyid=1d3a4a0d-7e0c-4730-8204-e419218c1efc&displaylang=en
Have fun!
~Kalen