With Yukon on the horizon, I'm thinking about the "unmanaged Yukon equivalent" we have now - Extended Stored Procedures.  I've used them in the past for such cleverness as calling out to Ws Services from within SQL Server and calling back to other boxes in an asychronous Observer-Observable pattern to let folks know about Data Changing for cache clearing events.

Now, no doubt Yukon will be much more robust even hosting in-proc componentry via Application Domains or out of proc via an ASP_WP style worker process, but until then, are Extended Stored Procedures (in VB6 and C++) evil? See http://tinyurl.com/4er4 (Google Groups Post)