XML FeedsSQL Server 2008 has the Script Data option inside the script wizard.
You would right click on the database, select Tasks-->Generate Scripts-->Pick the DB
and then you would be presented with scripting options, one of the options would be to script data, this is located under Table/View options. See the image below of how it looks like
In SQL Server 2012, this has changed and is kind of buried. Here is how to find it now.
Right click on the database, select Tasks-->Generate Scripts-->Set Scripting Options-->Advanced. Scroll down to Types of data to script
Now you can select Schema only, Data only, Schema and Data. See image below of what the options should look like
Don't forget to install the SSMS Toolspack, that will enable you to script just one table or just results from a query as well
Denis has been working with SQL Server since version 6.5. Although he worked as an ASP/JSP/ColdFusion developer before the dot com bust, he has been working exclusively as a database developer/architect since 2002. In addition to English, Denis is also fluent in Croatian and Dutch, but he can curse in many other languages and dialects (just ask the SQL optimizer) He lives in Princeton, NJ with his wife and three kids.
I believe SQL Server 2008 R2 also has this option in Advanced Options 
Naomi, this option is new for SSMS in SQL Server 2012. I don't think you'll see this in earlier versions unless you're talking about some add-in. 
I added the image of what SQL Server 2008 looks like
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