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 (http://blog.SQLAuthority.com)
[...] SQL Server agent plays an important role in the day-to-day tasks of a database administrator (DBA). It is often overlooked as one of the main tools for SQL Server management. Its purpose is to ease the implementation of tasks for the DBA, with its full-function scheduling engine, which allows you to schedule your own jobs and scripts. (Read More Here) [...]
[...] The SQL Server agent plays an important role in the day-to-day tasks of a database administrator (DBA). It is often overlooked as one of the main tools for SQL Server management. Its purpose is to ease the implementation of tasks for the DBA, with its full-function scheduling engine, which allows you to schedule your own jobs and scripts. (Read more here) [...]