Capture very expensive queries
You can identify problematic queries through DMVs using this query:

USE [master]
GO
SELECT  session_id,
blocking_session_id,
wait_time,
wait_type,
last_wait_type,
wait_resource,
transaction_isolati,
on_level,
lock_timeout
FROM sys.dm_exec_requests
WHERE blocking_session_id &lt;&gt; 0
GO


If you want to collect historical data or automate the process, you should consider 3rd party solutions. I’m using ApexSQL Monitor, but there are many others on the market. WindRaven mentioned some but there are also Idera Diagnostic, Nagios, SQL Sentry, Quest Spotlight.