In SQL 2000, the Enterprise Manager tool had the ability to script out an entire database including tables, store procs, etc. Now in SQL 2005, the Management Studio doesn't include that. It can only script out individual creation scripts for one object at a time.
But, Caleb turned me on to this add-in called the Microsoft SQL Server Database Publishing Wizard 1.1. It adds right-click functionality to gen creation scripts including user definitions and data. I've used it twice in the last two days. Very handy!