The New York Times (and yahoo, reuters, La times....) has the story coming out in today's science that scientists have recovered soft tissue, possibly blood vessels and blood cells, from within the incompletely fossilized bones of a tyrannosaurus rex. The vessels and cells look just like birds'.
From the science text it seems that they regard this fossil as unusual but not exceptional. They should be able to recover such structures in the future (they have already done it with a different tyrannosaur and a hadrosaur).
My interest in hearing about well preserved blood vessels in the bones was that it could add evidence as to whether dinosaurs were warm-blooded or not. Mammals and reptiles have different microcapillaries because the heat in lizards comes from outside whereas in mammals it's (in general) arising from within. But the bone vessels described here are not involved in heat exchange. There's a very nice discussion of these ideas here but basically the dinosaur's Haversian bone vessel system, although similar to mammals' and birds', might also have evolved for mechanical reasons.
UPDATE: The nearest citation I could find to my unreliable memory about skin differences is here . It looks like debate on dinosaur endothermy focuses on lungs and heart and nasal structures and not skin. Also these physiologies come in many flavors, with dinosaurs maybe having their own thing going.
UPDATE#2: For a really great discussion of how animals control body temperature, see here. An interesting point is that the heat budget of biggish animals like leatherback turtles is actually in the direction of too hot.