Why doesn’t SQL Server come with a built-in method for generating SQL dump files so you can easily port your data to another database? Microsoft in its own little walled garden I suppose; while the facilities in Enterprise Manager for exporting to Excel, Access, ODBC, CSV etc. can be very useful, sometimes you just need a bunch of SQL statements <whisper>so you can export your data to Oracle</whisper>.
SQLDumper to the rescue; a handy little free utility that does just that, with a neat user interface that lets you select which database/tables you want to dump. Windows only, but hey, it’s a SQL server tool after all! Downside: you have to download and install the .NET framework if you don’t already have it, but the setup program handles that itself — just something to be aware of if you have a slow connection.
Update 2015: SQLDumper no longer exists. But SQL Server Management Studio now does have a means of exporting SQL without using a third-party utility: see this explanation. Or, if that doesn’t do quite what you want (it didn’t for me), try HeidiSQL (open source, donations welcomed). A trial suggests it’s quicker and more flexible.