K. Scott Allen : Remote Desktop Hacks: "re: Remote Desktop Hacks
If you download the server 2003 admin pack (free), you can create an MMC snapin for remote desktops. In a multi server environment it is invaluable. Basically looks like windows explorer, your list or remote desktops on the left, and you can just toggle between them.
Also it is configurable per connection whether you want to use a console connection or not.