Those over at Activewin have spotted download links for the final of DirectX 8.1 over on Microsofts servers, heres what they had to say:
"Looks like DirectX 8.1 has turning up on the Microsoft servers. You can download the various OS versions on the links below. Notice that it can be installed on Windows XP."
UPDATE: Added Official MS links to both Windows 2000 and Windows 98, Me. Thanks Vla
Download: DirectX 8.1 FULL for Windows 98, ME, 2000 and erm XP (24.5mb)
Download: DirectX 8.1 for Windows 2000 (7.5mb)
Download: DirectX 8.1 for Windows 98(SE), Me (12.1mb)
This "full" DirectX® 8.1 SDK download contains the tools needed to build cutting-edge C/C++ and Visual Basic applications. It includes the run-time, headers and libs, sample executables, sample source, documentation, DirectX utilities and support for both C/C++ and Visual Basic® development. The "full" SDK download does not include the symbol-file and exporters "extras" downloads. This SDK release also contains the DirectX 8.1 developer runtime and the redistributable runtime.
Download: Direct X 8.1 SDK for Windows 98, Me, 2000 and XP (173mb)