>I'm using the one that comes with SQL 2005: Query analyzer.
I think you meant SQL server management studio. It does display null dates as nulls. Are you sure your daes are null? Check if it is really null. ie:
select orderID, shippedDate,
DateIsNull = case when shippedDate is null then 'YES' else 'NO' end
from Northwind..orders
order by shippedDate
Cetin