В Юкон будет реализована возможность программировать триггеры, ХП, UDF с помощью любого .NET
совместимого языка (такого как Visual Basic® .NET и C#).
Мне кажется это весомым плюсом в сравнении с ORACLE, где есть поддержка только Java.

Вот даже выдержка из прооракловского документа :

.NET in MSSQL vs. Java in Oracle
It is looks like MSSQL 2005 has a serious advantage over Oracle. Java inside Oracle database can be called only indirectly meaning that it should be wrapped by PL/SQL or by using either CORBA or EJB interfaces while .NET in MSSQL can be called absolutely transparently as Transact-SQL. In addition, uploading and maintaining of Java objects in Oracle is the same as maintaining a complete java application server. On the other hand, MSSQL provides a simple interface to develop, debug and use .NET triggers, stored procedures and packages in the MSSQL 2005.

.NET - это платформа на которую microsoft сделала ставку, они вбухивают в нее огромные деньги, так что
полная интеграция MSSQL и .NET открывает большие возможности.

Я, например, не вижу ничего плохого в том, что можно будет пользоваться огромной библиотекой классов,
и вообще всеми достоинствами полнофункциональных языков.

а почему все так уверены, что в T-SQL нет усовершенствований? Во всяком случае, вот что у них в официальном документе написано

Transact-SQL Enhancements

Yukon provides more new language constructs and primitives for the T-SQL language than can be enumerated here. You can find them all in SQL Server Yukon Books Online. The enhancements to the T-SQL language reflect greater conformity to the ANSI-99 SQL specification, and were prompted by customer requests. Many of the improvements in T-SQL are focused on greater expressiveness in queries. There are several new query types that allow for common scenarios to be covered in T-SQL code. For example, a recursive query provides the ability to generate a bill of materials or a hierarchical resultset.

T-SQL in Yukon provides new PIVOT and UNPIVOT operators. These operators perform a manipulation on an input table-valued expression and produce an output table as a resultset. The PIVOT operator rotates rows into columns, optionally performing aggregations or other mathematical calculations along the way. It widens the input table expression based on a given pivot column and generates an output table with a column for each unique value in the pivot column. The UNPIVOT operator performs an operation opposite to the one PIVOT performs; it rotates columns into rows. The UNPIVOT operator narrows the input table expression based on a pivot column.

Yukon introduces a new and simple but very powerful exception handling mechanism in the form of a TRY/CATCH T-SQL construct. Transaction abort errors that used to cause a batch to terminate can now be caught and handled. Additionally, there are new language constructs for security, replication, Notification Services, XML, and all of the features that the .NET Framework provides. The .NET Framework implementation on the server is an important evolution in the SQL Server product cycle.