In Visual Studio 2005, the default is to not automatically insert attribute value quotes when typing in the HTML editor. I don't like that. If you're like me, change this default behaviour by going to Tools -> Options -> Text Editor -> HTML -> Format. Then check off "Insert attribute value quotes when typing."
On another note, you'll notice the "Insert attribute value quotes when formatting" checkbox right below. This is on by default; I find it very useful in that one of my favourite shortcut key chords (ctrl-K, ctrl-F) not only formats the selected text, but also then automatically enters any missing attribute value quotes.