Does SQL Server have a Date_Format function?
Not yet.

You need to use CONVERT with a style parameter or hack something together with DATEPART or DATENAME.

SQL Server 2012 will have the FORMAT function though that accepts a .NET Framework format string

Syntax:

FORMAT ( value, format [, culture ] )


Example Usage

SELECT FORMAT(getdate(), 'dd/MM/yyyy', 'en-US' ) 


You could always use CLR integration and create your own UDF that does the same thing for 2005 or 2008.