I often get asked by students in my SQL class what is the best way to practice their SQL Server skills. The easiest and most cost effective (free!) way is to download SQL Server Express. The latest release, SQL Server Express 2008 R2 is now available for download at: http://www.microsoft.com/express/Database/.
Be sure to download the version "Database with Management Tools" so that you get SQL Server Management Studio Express. The "Database with Advanced Services" version will give you in addition Full-Text Search and Reporting Services. The new versions support databases of up to 10GB.