I ran across this multiple times over the last two years or so. This issue started with the introduction of the AMD tri-core processors, and continued when Intel released the hexa-core processors. This only applies to SQL 2005 RTM or older, on processors that are not a power of 2 (or single core).
When you install SQL 2005 RTM, it will complete the install, but fail on the last step when it tries to start the service.
There are two fixes for this according to Microsoft, however only one is supported, therefore I will post that one.
First, uninstall SQL 2005 RTM, then reboot the server into the BIOS. In the CPU settings, set the number of cores to a power of two, or to single core. Reboot into Windows Server and initiate the install of SQL again. It will be successful this time, and allow the service to start. Now install SP2 or SP3 for SQL 2005, and reboot back into the bios. Set the cores to all again.
Reboot into Windows, and your SQL 2005 installation should be functional.
Credit Microsoft KB: http://support.microsoft.com/kb/954835/en-us