CU8 for SQL Server 2005 Service Pack 2 has just been released, which also means that the grounds have also been made for Cumulative Update Package 9 as well.
Microsoft recommends that in general, you only install Cumulative Updates to correct problems described in the knowledge base articles relevant to that CU. That said, Cumulative Update Package 8 can, amongst other things, correct something related to Cumulative Update Package 6. It seems that queries that use a cursor run faster on previous builds than they do on CU6. This problem was fixed in CU8, and so if you had installed Cumulative Update Package 6, you may need to install Cumulative Update Package 8 as well. You can read more about the performance of a query with a cursor running on SQL Server 2005 with CU6 and how the problem was fixed in CU8.