>Doesn't SQL Server have any built-in functionality for an audit-trail?

The only built-in functionality I'm aware of is the SQL Profiler. I personally haven't used it so I don't know if it's capable of providing the kind of user activity you would want to see in an audit trail. I assume there must be something lacking in it, otherwise there wouldn't be any 3rd-party packages out there for doing SQL audit trails. :)

Laterness,
Jon