SQLdiag is a diagnostics collection utility to collect logs and data files from SQL Server that you can use to monitor your servers over time or troubleshoot specific problems with your servers.  SQLdiag can collect data from: Windows performance logs, Windows event logs, SQL Server Profiler traces, SQL Server blocking information, and SQL Server configuration information.

Until now, there was not a way to customize what data you needed to collect.  But Microsoft has released a tool to allow customization, called Pssdiag and Sqldiag Manager (Pssdiag is the version for SQL Server 7.0/2000).  Additionally, you can use it to collect data for SQL Nexus, which is a data analysis tool used by Microsoft product support (SQL Nexus helps you identify the root cause of SQL Server performance issues – it loads and analyzes performance data collected by SQLdiag).

More info on Pssdiag Manager: Pssdiag/Sqldiag Configuration Manager released to codeplex

More info on SQLDiag: How to use SQLDiag, SQLNexus and PAL tools to analyze performance issues in SQL Server