Aaron Bertrand has started collecting content for a SQL Server 2005 FAQ. There is some useful stuff in there but needs more content so here you go Aaron.

Why do new query windows use the master database?

This behaviour is different from Query Analyzer and can often cause you to execute scripts in the wrong database. This is especially unproductive as there is no select multiple in Object Explorer to clean up the damage quickly.

In actual fact the old Query Analyzer behaviour is still there, just under a different button. You need to select New Query with Current Connection  which is just to the left of the database selection list in the SQL Editor tool bar. Alternatively, CTRL-Q (Standard Keyboard Scheme) or CTRL-N (SQL Server 2000 Scheme) will do the same.