So far, so good.
Now here comes the more interesting part - how do I import that Shapefile into SQL Server 2008. Fortunately, Morten Nielsen has made the very helpful SQL Server 2008 Spatial Tools. There were some problems with the SQL Server 2008 RC0 due to the change of (latitude, longitude) ordering. However, recently Morten updated his tools and now they work again (thank you Morten).

Here the magic SRID number means that the WGS 84 spatial reference system should be used.
You can easily see that by executing the following query:
select * from sys.spatial_reference_systems where spatial_reference_id = 4326
When you are ready, just press the "Upload to Database" button and wait a little.
And now after your ESRI Shapefile data is finally in your SQL Server 2008 you can do some interesting queries like for example:
declare @p geography
set @p = geography::STPointFromText('POINT(-121.7944 38.1172)', 4326)
select top(50) CITY_NAME, geom.STDistance(@p) as Distance, geom.STStartPoint().ToString() as StartPoint from USTowns order by Distance asc
That was all for now. I hope that I will be able to blog more often in the future.