I think that SET SHOWPLAN_TEXT is about a close as you are going to get. The SQL Profiler allows you to get plan information as the SQL is submitted to the server, but I don't know of any way to retroactively see the plan generated by another spid even if you are a member of the sysadmin group (Microsoft's equivalent to Sybase's sa).
In that case, how would you check the performance issue with a third party front end application running on MS SQL Server. Only thing you know is SPID with which the application is running - either a report or a batch job. I tried SQL profiler, but couldn't get anything in the output. I might be missing something.