In his answer to Identity Columns or UDF that explicitly generates a unique id?Identity Columns or UDF that explicitly generates a unique id? mrdenny says:
When SQL Denali comes out it will support sequences which will be more efficient than identity, but you can't create something more efficient yourself.
I'm not so sure. Knowing Oracle's sequences, I have either to create a trigger for insert, encapsulate each insert into a call of a stored procedure, or pray that I do not forget to properly use the sequence when I do an ad-hoc insert.
I doubt that the advantages of sequences are so obvious.