I came across this interesting and detailed article ‘What’s New in SQL Server Agent for Microsoft SQL Server 2005‘ on Microsoft TechNet.
This article describes Security Improvements, New Roles in the msdb Database, Multiple Proxy Accounts, Performance Improvements, Performance Counters, New SQL Server Agent Subsystems, Shared Schedules, WMI Event Alerts, SQL Server Agent Sessions, Database Mail Support, Stored Procedure Changes in depth.
Reference : Pinal Dave (https://blog.sqlauthority.com)