Installing Microsoft Team Foundation Server is a ridiculously arduous and difficult process. I'll spare you my own complaints and simply list the checklist for installing this beast. This assumes you're installing TFS in a domain-enabled environment and in single-server mode; this is the typical configuration for a small-to-medium-size organization:

1. Designate a machine to host your Team Foundation Server repository. This machine must not double as a domain controller as this configuration is not supported by TFS.
2. Set up at two regular user accounts (not administrators, and if you have any group policies you may - according to your configuration - want to keep these users out of the relevant OUs) in your Active Directory. I used the trivial TFSService and TFSReports accounts. Also you'll need a user with administrative privileges on the target server; I personally prefer to avoid the associated headaches, so I simply used a domain administrator user for installation purposes (but used the aforementioned two users to set the beast up).
3. If necessary, install Windows 2003 Server (whatever flavor) on the machine; don't forget the necessary service packs and updates. If your pipe is fat enough, just let Windows Update do its magic.
4. Add an Application Server role, make sure you enable ASP.NET 2.0 during the installation process
5. Install SQL Server 2005. Make sure you read the installation guide first though, as you'll need to set it up to "Use the built-in System account," enable all services except Notification and finally select Windows authentication as the preferred authentication mechanism. You'll also need to let the SQL Server installer install a bunch of prerequisites before actual installation begins.
6. Install SQL Server 2005 Service Pack 2.
7. From the TFS installation media, install hot-fix 913393 for .NET Framework.
8. Install Windows SharePoint Services 2.0 with Service Pack 2.0. Make sure you select server farm mode when installing, or you'll just have to redo the installation.
9. Install Team Foundation Server itself.
10. Back up the reporting services encryption key (you can find a description of the procedure here).
11. Install hot-fix 919156, a.k.a the Quiescence GDR (no, I have no idea what GDR stands for).
12. Install Team Foundation Server Service Pack 1.
13. Make sure TCP port 8090 is open in your firewall software if you want web access to your Team Foundation Server (to be honest, I haven't found any use for it yet.)
14. Install Team Explorer from the installation media (required for many add-ons, including eScrum).
15. Install Visual Studio 2005 Team Suite Service Pack 1. This can, and will, take forever.

If at this point you're not thoroughly exhausted, you might want to set yourself up a with a project. We're currently evaluating the Microsoft eScrum template for our purposes; my colleague Oren Ellenbogen, in his capacity as Scrum Master, will probably be posting his thoughts on eScrum as a platform. In the meantime here's a quick list of solutions to problems we've encountered while configuring the beast:

1. Make sure you install the various prerequisites; in this case, .NET Framework 2.0, IIS, TFS and Team Explorer, AJAX Extensions 1.0 and the Anti-Cross Site Scripting Library
2. At this point you're liable to get a strange SharePoint-related error if you try and create an eScrum-based project; if that's the case (or as a preemptive measure), just run iisreset on the TFS server.
3. If you can't seem to access the eScrum website (nominally at http://yourserver/eScrum) you may have to reconfigure the eScrumAppPool identity from the IIS manager (right click the application pool, chose Properties, go to the Identity tab and enter the right information under Configurable)
4. You may also get 404 errors from the eScrum website even though it's very obviously configured. We've found that the solution described here works as well:
   • From the command prompt, type cd "%ProgramFiles%\Common Files\Microsoft Shared\Web Server Extensions\60\BIN"
   • Run STSADM.EXE -o addpath -url http://localhost/eScrum -type exclusion
   • Run iisreset again
5. eScrum reports only update once every 1 hour. If this bothers you, follow the instructions here to reduce the lag.

Hope this saves someone out there a lot of time and headache (and if so, a comment or e-mail is always appreciated...)