I support most of the other answerers in saying you should avoid GUIDs as your clustered key in SQL Server - if you really want to, you could use them as primary key, but don't cluster your table on it.
The primary key is the logical concept of a key to uniquely identify each row - here, a GUID can make sense since it's pretty much guaranteed to be unique.
But the clustered key is a physical concept which physically orders the rows in the table, and here due to their random nature, GUIDs are poorly suited. This will lead to massive index fragmentation and thus to poor performance, even if you keep reorganizing your index (and thus table data) over and over again.
Furthermore, since the clustered index key is being used as the lookup value to find the row in the table, it will be added to each and every entry of each and every non-clustered index on your table, too, and here the size of the GUID (16 bytes) vs. INT (4 bytes) comes into play - you potentially waste a lot of space just for keeping track of the lookup values.
The best discussion of primary / clustered indices and GUIDs I know of is the couple of article by Kim Tripp, the Queen of Indexing in SQL Server land - check them out!
Her ultimate requirements for a clustered index are: small, stable, unique, and hopefully ever-increasing. GUID's violate two of those (small and ever-increasing). Even the GUIDs generated by the NEWSEQUENTIALGUID() function in SQL Server aren't totally and truly sequential - so I wouldn't use those either.
Marc