Maybe it's to do with the interesting system requirements it has, coupled with the not so helpfully error reporting on setup failure. Tonight I discovered that SQL Server Express won't install on a machine where the Protected Storage Service is set to manual. Interestingly though you can't easily find this relationship with the error message of "ParseBootstrapOptionsAction".
For more information see this post Error installing Express Edition with VS2005 Standard
Or the actual Knowledge Base Article
