In earlier versions of SQL people had very few options for auditing in SQL Server. It typically meant using SQL Trace which is not the most intuitive tools. However in the latest editions, we are now given quite a lot of power for auditing with some purpose built tools. The SQL 2008 Audit is meant to be replacing SQL Trace, it is faster, more granular and easier to interact with from SQL Server Management Studio, and with code. In this article, I am using a T-SQL code approach.
Since this is one of the big topics in SQL Server 2008 (and bound to become more popular), it is not possible to cover it completely here. However, I will try to give you one detailed but simple example as an introduction to SQL Audit.