<p>I'm trying to find SQL statements that timed out using the SQL 2005 profiler. Is there a way to set such a filter?</p>

In Profiler, you can add the event "Attention" under "Errors and Warnings".  It's definition is
Collects all attention events, such as
  client interrupt request or when a
  client connection is broken.
As far as other errors (deadlocks, contraints, etc), try "Execution Warning" (reports warning that occurred during the execution of SQL statement or procedure) or "User Error Message" (the error message displayed to the user in the case of an error or exception).