I read in one of the reviews (sorry, can't remember where) that 'full mail merge' is only in the 'business edition' of Office 2008 (I imagine the reviewer meant the Standard or Media editions).
I use mail merge to produce address labels from time to time and would buy Office 2008 Home and Student Edition if it had this facility (Pages '08 does not, sadly).
If mail merge is missing from Word 2008, I'm certainly not prepared to pay over £300 for the Standard edition in order to get it. I shall have to continue to use Windows XP under VMware Fusion in order to run Office 2003 and Money, which are about the only reason that I need Windows.