<p>Are there good efficiency savings using Sql Server 2005 over Sql Server 2000?</p>

<p>Or does it just have more services etc</p>

<p>Has anyone seen their system work any quicker after making the upgrade?</p>

The surrounding tools such as Analysis Services were substantially rewritten and can get you a variety of wins depending on your requirements.  However I don't see a lot of really fundamental changes from 2000 to 2005 in the core database engine.
There are some improvements that may get you better performance in certain situations.  SQL2005 has much better support for 64-bit architectures and better table partitioning than SQL2000 (you can partition a table as opposed to making partitioned views).  64-bit support is the most likely to give you a performance win on a large system as it allows you to set up much larger caches.
Apart from those features I don't believe that there is really a large difference.  There are probably minor performance tweaks.
The main reason to move from SQL2000 to SQL2005 will be when SQL2000 goes out of support.  If you have a running application on SQL2000 there are not a lot of compelling reasons to switch to 2005 while 2000 is still supported by Microsoft.
Data Warehouse systems will get quite a few wins from moving to SQL2005.  SSIS, SSAS2005 and SSRS2005 are much better than their SQL2000 counterparts.