Just as KB mentioned, go for 2008 if you're developing applications that are future-ready (vis-a-vis WF, WCF, LINQ, etc.). If you're "just" learning, I would recommend skip 2005 altogether. By the time you know enough, VS2008 would have shippe and you'll be ready for the new IDE. When I say new IDE, I mean designers/presentation controls for WF (activities), WPF (similar to forms), XAML (asp.net-like), LINQ (SQL to LINQ designer), etc. Nevertheless, most of these newer technologies will be worthless until you know basic C# with major understanding of the .NET Event/Delegate Model; this can be done in 2005 as well as 2008. Both, VS2005 & 2008, use SQL Server Express Edition as part of their setup.
Also, if you use 2005, remember that you'll still need to install VS2005 extensions for WF and WPF so that you can develop those applications in VS2005. No need for this if you go with VS2008.