How to take table-level backup (dump) in MS SQL Server 2005/2008?
If you're looking for something like MySQL's DUMP, then good news: SQL Server 2008 Management Studio added that ability.
In SSMS, just right-click on the DB in question and select Tasks > Generate Scripts. Then in the 2nd page of the options wizard, make sure to select that you'd like the data scripted as well, and it will generate what amounts to a DUMP file for you.