In his answer to [sql2005 whats better: identity columns or generated uinique id values?][1]
 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.

  [1]: http://dba.stackexchange.com/questions/1632/sql2005-whats-better-identity-columns-or-generated-uinique-id-values