Aaron Stebner has compiled a list of which version of the .Net Framework is included in which version of Windows by default:

Operating System Framework Version Included As
Windows XP Home/Professional SP1 .NET Framework 1.0 + SP2 MSI Based Installer
Windows XP Home/Professional SP2 .NET Framework 1.1 + SP1 MSI Based Installer
Windows XP Media Center Edition .NET Framework 1.0 + SP2 OS Component
Windows XP Tablet PC Edition .NET Framework 1.0 + SP2 OS Component
Windows Server 2003 (all editions) .NET Framework 1.1 OS Component
Windows Server 2003 R2 .NET Framework 2.0 MSI Based Installer*
Windows Vista (all editions) .NET Framework 2.0 & 3.0 OS Component

* although it appears as an OS component, it is actually just an MSI based installer.

The MSI based installers can be used to install or uninstall the .Net Framework from the OS, enabling it to be removed completely if needed.

Very useful if you are targeting specific platforms with your .Net applications.