This is a tough question to answer, because ultimately it depends on what .NET 3.5 features you are using. If you are using some of the new libraries, such as LINQ, then yes, you'll need to install the 3.5 runtimes. However, if you are just using some of the new syntatic sugars introduced in 3.5, you may not. The reason for this is that .NET 3.5 is 100% compatible with the 2.0 CLR.
The .Net Framework 3.5 SP1 redistributable (the one that's around 230MB) contains everything (2.0 + SP1 + SP2, 3.0 + SP1 + SP2, 3.5 + SP1) in all supported architectures (x86, x64, ia64). This is the only download you need.
Download from here (click on .NET Framework 3.5 Service Pack 1 (Full Package)):
And then, you might want to install these updates:
IMPORTANT: After installing the .NET Framework 3.5 SP1 package (either the bootstrapper or the full package) you should immediately install the update KB959209 to address a set of known application compatibility issues.
There are 3 updates (for 2.0, 3.0, and 3.5) for 2 OS "groups" (XP/2003 or Vista/2008) for 3 architectures (x86, x64, or ia64), for a total of... 16 downloads! (I know, 3 * 2 * 3 = 18, but Server 2003 ia64 only supports up to 2.0). You need to install the 3 updates in order. Or you could run Windows Update after installing 3.5 SP1 and let it figure it out.
EDIT: To be clear, .Net 3.5 requires that 2.0 and 3.0 be installed and updated to SP1 level. .Net 3.5 SP1 requires that 2.0/3.0 be updated to SP2 level. But the 3.5(SP1) installers will do this automatically. That is, by installing 3.5 SP1, you don't need to worry about installing and updating 2.0 and 3.0 to SP1 or SP2. Just install 3.5 SP1 and you're done! (and the extra updates, 3.5 SP1.1?)
About the Client Profile, it can only be installed on x86 client machines that don't have ANY version of .Net installed, so it won't install on Vista (it already comes with .Net 3.0), any Windows Server version, nor any x64/ia64 OS. You can only install it on a Windows XP SP2+ (x86) that doesn't have any version of .Net installed, otherwise a full installation is done. The offline Client Profile installer is 255MB because it will try to do a client install first, if it can't it will fallback to a full install. Personally, I would just do a full install anyway.
Best Answer
Microsoft Windows SDK for Windows Server 2008 and .NET Framework 3.5
Actually, you only need the SDK for a few things (the RDL reports compiler
.targets
file leaps to mind, since that one has bitten me recently). The framework itself can do most things.