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I am little lost in touch whit few SQL servers regarding to their updates.
Now I want to update these serves and I see that now is actual SP4 for SQL2005 databases.
My question is:
If I skip SQL Service pack 2 or 3 and just install Service pack 4 do I have latests updates for all sql components , also do I need to install and others service packs beside of SP4 ?

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up vote 4 down vote accepted

SQL Service Packs, like Windows Service Packs, are cumulative. That is, they supersede older ones and have all prior updates in them. You only need to install SP4.

Beyond SP4 you could do Cumulative Updates or "CU's" that are "all small updates since last Service Pack". Most people only do Service Packs though, which are more thoroughly tested then CU's.

this may help you understand difference between hotfixes, CU's, SP's

Newest CU for SQL 2005 SP4:

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