My guess what you'll want is to create custom application pages. These are pages that are stored in the 12\template\layouts folder on a SharePoint Web Front End. The advantage to these is that they are really web pages that share a common master page that SharePoint uses (application.master). The basic content of them is just a standard .aspx ASP.NET page, so you can use ADO.NET and other controls to integrate with your back end SQL database.
There are a lot of articles that explain how to create application pages, so I'll let you search for these. You can also look at many of the out of box ones that SharePoint uses that are stored in this same layouts folder.
Hope this helps.
Randy -
http://sharepointhawaii.com/randywilliams