The one bit of good news is that SP3 is due out soon (i.e. late this year or early next year), and will be a cumulative update.
Otherwise, your only other options are to download a myriad of individual patch installers, or download the myriad of individual patch installers and create a slipstreamed install CD. You could keep a running image on your hard drive, and then just burn a copy whenever you needed to do a reinstall.
The process should be pretty much the same as making a service pack slipstreamed installation disc.
I am new to the forums so please forgive me if this has been asked before. Is there a place where I can download a consolidated file of Windows updates? I will be reloading XP on a new HD and don't really want to spend hours downloading 40-50 updates and restarting all the time.