>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