Yes, we Unit Test some of the more complex stored procedures.
We use dbFit based on the Fitnesse platform. http://www.fitnesse.info/dbfit
It has been invaluable when refactoring complex sps. One sp springs to mind that has about thirty different test cases. By setting up the tests before I started changing anything it gave me the confidence to do some serious refactoring.
We are looking at using it to test whole ETL jobs now (SSIS and Talend).
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