I purchased an HP Pavilions laptop, with Vista Home Premium SP1, 3-4 months ago. There were about 35-40 security patches waiting for download and installation. I haven't gotten around to installing all of them yet. Does SP2 include all of those patches?
When I reload Vista, I always load SP1 then immediately go to SP2 (manual download/install from my server). After that, I do WIndows Update to get anything newer or anything missed. So I would answer your question as yes, you can go from SP1 directly to SP2 for a "faster" update.
By the way I think I may be in error. I was just reading up on it and it appears that yes, you do require SP1 first, then SP2 but you wont have to worry about the updates that came between the two as they are included in SP2. But you will have to install a whole bunch that came afterwards of course.
Sorry about that folks. Hope I haven't screwed up anything.
In addition to what has been said, the best way to install a service pack is to use the standalone version and to install them immediately after installing the OS. This is the nearest to having a disk with the pack(s) pre-integrated without having such a disk. Of course, you should install the packs in release order (i.e. SP1 then SP2 etc), even if the majority of the files in the older pack get overwritten by the newer version. If your disk already includes SP1 (as mine does), you can go ahead and just install SP2.