A couple of methods of migrating linked servers from sql server 2000 to 2005\2008

Method 1
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Use this script template to create a script for migrating linked servers. Depending on the amount of linked servers , I either copy and paste
or sometimes place in a loop and build dynmaically.

EXEC sp_addlinkedserver '<MY_LINKED_SERVER_NAME>', '', '<MY-PROVIDER>', '<MY_DATA_SOURCE>', NULL, NULL, '<MY_CATALOG>'
EXEC sp_serveroption '<MY_LINKED_SERVER_NAME>', 'rpc', 'FALSE'
EXEC sp_serveroption '<MY_LINKED_SERVER_NAME>', 'pub', 'FALSE'
EXEC sp_serveroption '<MY_LINKED_SERVER_NAME>', 'sub', 'FALSE'
EXEC sp_serveroption '<MY_LINKED_SERVER_NAME>', 'dist', 'FALSE'
EXEC sp_serveroption '<MY_LINKED_SERVER_NAME>', 'dpub', 'FALSE'
EXEC sp_serveroption '<MY_LINKED_SERVER_NAME>', 'rpc out', 'FALSE'
EXEC sp_serveroption '<MY_LINKED_SERVER_NAME>', 'data access', 'TRUE'
EXEC sp_serveroption '<MY_LINKED_SERVER_NAME>', 'collation compatible', 'FALSE'
EXEC sp_serveroption '<MY_LINKED_SERVER_NAME>', 'use remote collation', 'TRUE'
EXEC sp_serveroption '<MY_LINKED_SERVER_NAME>', 'lazy schema validation', 'FALSE'
EXEC sp_addlinkedsrvlogin @rmtsrvname = '<MY_LINKED_SERVER_NAME>', @useself = 'FALSE', @locallogin = NULL, @rmtuser = '<MY_REMOTE-USER>', @rmtpassword  = <REMOTE_USER_PASSWORD>'

Method 2
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--use this script to to copy linked server profiles

use master
set nocount on
select 'exec master..sp_addlinkedserver
@server = ''' + srvname + ''',
@srvproduct =', + '''' + srvproduct + ''',
@provider =', + '''' + providername + ''', @datasrc = ' , '''' +
datasource + '''' from sysservers