In Windows Server 2003, you can use the Disk Management console to create a striped volume over multiple dynamic disks (well, you can also create a mirrored, a RAID-5 volume, etc). If these disks (or LUNs) are presented from a SAN, most likely you can stripe across the same storage devices--making up these LUNs--inside the SAN to present a single LUN to Windows.
The question is: if you can create a striped set either inside SAN or at the Windows level, is there any performance advantage of doing it at the Windows level?
From what I have seen so far, you are probably better off using a SAN-based striped set rather than create a Windows striped volume. Although in no way I'm recommending this in all cases, I do have some empirical data to back myself up.
Recently, I had three 32GB LUNs presented to a server. I first used the Windows disk management tool to create a 96GB Windows striped volume on top of these three LUNs, and conducted a series of I/O performance tests on the Windows striped volume. Then, I returned the three LUNs to the SAN, and a 96GB LUN was created to stripe across the same devices that used to make up the three 32GB LUNs. Finally, the same I/O tests were conducted on the 96GB SAN striped LUN.
The I/O tests included 8K random reads, 8K sequential reads, 8K random writes, and 8K sequential writes. There was no difference in I/O throughput between the two configurations when it came to 8K random/sequential reads and 8K sequential writes. However, the SAN striped LUN significantly outperformed the Windows striped volume for 8K random writes, as shown in the following chart.
Now, how much of this 8K random write difference may translate into the performance difference in SQL Serer transaction throughput? Probably not as much or not a lot. But unless there are the numbers to show some performance advantage of using a Windows striped volume over a SAN striped LUN, why use it?
By the way, note that to create a Windows striped volume, you need to convert the LUNs to dynamic disks which are not supported in a Microsoft Cluster Server.