I found an article about how to change this on the web. The file can be found at C:\Program Files\Microsoft SQL Server\100\Tools\Binn\VSShell\Common7\IDE\SqlWorkbenchProjectItems\Sql\SQLFile.sql for SQL 2008. It can be found at C:\Program Files\Microsoft SQL Server\90\Tools\Binn\VSShell\Common7\IDE\SqlWorkbenchProjectItems\Sql\SQLFile.sql for SQL 2005. I thought I would give it a shot and see what became useful for me. This is now my default New Query document contents in both SSMS 2005 and SSMS 2008.
-- Set the transaction isolation level explictly
SET TRANSACTION ISOLATION LEVEL READ uncommitted
BEGIN TRAN
BEGIN TRY
-- Replace this with the actual work ;)
-- Here is an example breakpoint
RAISERROR (N'BREAKPOINT.',16,1);
END TRY
BEGIN CATCH
DECLARE @ErrorMessage NVARCHAR(4000);
DECLARE @ErrorSeverity INT;
DECLARE @ErrorState INT;
SELECT Error_number() AS errornumber,
Error_severity() AS errorseverity,
Error_state() AS errorstate,
Error_procedure() AS errorprocedure,
Error_line() AS errorline,
Error_message() AS errormessage;
-- Use RAISERROR inside the CATCH block to return error
-- information about the original error that caused
-- execution to jump to the CATCH block.
RAISERROR (@ErrorMessage, -- Message text.
@ErrorSeverity, -- Severity.
@ErrorState -- State.
);
END CATCH;
IF @@TRANCOUNT > 0
COMMIT TRANSACTION; 
