I just learned from Gail E. at MS that the system error messages are all documented in the SQL Server 2008 Books Online.
For instance, search for 823. See the hits? Now, for instance, select the “Errors 1 – 999” page. Press the “Sync with Table of Contents” button. Look to the left, in the “Contents” section. You now see that the errors messages are divided into sections (1-999, 1000-1999, …). You also see where in BOL to find these sections:
SQL Server 2008 Books Online
Errors and Events Reference
Database Engine Events and Errors
System Error Messages
Also note that some messages has a hyperlink which takes us to a section where we can read more about this particular error message (823 is such an example).