In his answer to sql2005 whats better: identity columns or generated uinique id values? mrdenny mentions, 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 sequences, I have either to create a trigger for Insert or to encapsulate each insert into a call of a stored procedure or to 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.