I was cruising around the Ars Technica forums and saw a question about SharePoint 2010. The poster wanted to do a fresh install with the August 2010 CUs and wanted to know if he could just run the Config Wizard once after the SharePoint 2010 install and installing the subsequent CUs. I told him that should work, but I also mentioned he could slipsteam the CU into the install and save himself some time. I realized that I hadn't actually done that with SharePoint 2010 yet, so I decided to give it a go. Here's how you slipstream CUs (and eventually service packs, I assume) into SharePoint 2010.
First, let's agree on a definition of slipstreaming. Slipstreaming is adding patches or service packs to the installation of a product, in this case, SharePoint 2010. When patches are slipstreamed they don't require any extra steps to install. The install process installs them as part of its normal activities.
Second, let's be clear about when you should install CUs. CUs are the new hotfixes. You shouldn't install them just because they're out. You shouldn't install them just because your buddies did. You should only install them because you're having a problem with SharePoint 2010 and said problem is fixed in a CU. The CUs will patch discrete parts of SharePoint 2010, so you should also only install the CUs that fix your particular problem.
Okay, now that we've got all that out of the way, how do you do it?
You need to extract your SharePoint installation into its directories. For SharePoint server you do that like this:

I typed the following:
Md SharePoint 2010
OfficeServer.exe /extract:.\sp2010
If everything went well, you should get a dialog box telling you it was extracted successfully. It should look like this in the file system:

I've highlighted the part that makes this magic all possible, the Updates folder. To slipstream CUs, just drop their MSP files into that directory. At the end of the install process the installer will check for MSPs there, and install them. Below is how I slipstreamed both the June and August CUs into my new installation:

The stuff highlighted in red is the June CUs, the stuff in green is the August CUs. This demonstrates how to stack them. Since the patches are discrete, something that's patched in June (like filterpack-x-none.msp and wasrvwfe-x-none.msp), might not be updated in August. In that case, if you want the all, you have to extract all the CUs and copy them over in order. The bottom line shows that both June and August patch osrchwfe-x-none, so when we copy over the August CUs we have to make sure we overwrite the older version. You end up with an Updates folder that looks like this:

Now run Setup.exe like you normally would and install SharePoint 2010. Towards the end of the install process, the MSPs in the Updates folder will be installed automatically. You can verify they were installed by checking in Central Admin. Go to Upgrades and Migration > Check Product and patch installation status. This lists all the products that make up SharePoint, as well as their patch numbers.

I think Microsoft did a fabulous job with this. Not only does it show you the current version, but it lists all the previously versions as well. And, AAAND, there's a link to every patch you've installed. Now, this might seem dumb, why would you need a link to a patch you've already installed? If you add another server to your farm, that's why. Now there's no more fumbling around for an EXE you know you have, but you just can't find. Pretty slick. I've also got links to all the CUs downloads in my SharePoint 2010 Build Numbers blog post.
That's all there is to it. Again, be careful with CUs. Only install them if you need them.
tk