I have been using DNN 3.1 with SQL 2000 for a while. With different sites on discountasp.net and webhost4life. and have started test apps with NN 4.02 and 4.03 and sql 2005. Sorry, No experience with the 3.X and 2005, but some general experience with 2005 and backups may be helpful to you.
It has been easy to back up these sites locally and install them locally for archive and to refresh a development environment for SQL 2000.
Well, with SQL 2005 this has not been that easy, there have been other posts on this...
webhost4life supports a simple backup command that creates a BAK file that can be FT'ed and restored. This is still fine.
But discountasp.net does not and the permissions on the site do not allow Management Studio to do a backup. Instead you have to script the DB objects and move the script locally to create the objects and THEN export the table data from the production system to the newly scripted local DB.
A bit of a pain and it has not worked for me yet!!! The local application starts up ok - but none of the module content or sub pages are shown. Instead the user is always routed to the login screen. Perhaps some objects are missing in the DB transfer. Not sure how much longer I will try before giving up on discountasp.net or using sql 2005 there.