You need to make copious use of Group Policies to enable folder redirection + roaming profiles.
You can redirect Desktop, Documents, and Favorites to their home folder (or another share if you don't want it to use their home folder).
I would however advise not redirecting Application Data. Windows stands on this and you will notice a performance hit. Using roaming profiles should address that folder.
This is not a silver bullet though. Occasionally a profile will get out of whack and need to be renamed. Folder redirection only works properly when redirected to a local folder on the same LAN. Don't redirect it to a location that is on the other side of a low speed wan link.
Chapter 4 "Creating the user work environment" of the Windows 2008 Terminal Server Resource Kit is an excellent how-to guide: