How to get the first and the last record per group in SQL Server 2008?

How about using ROW_NUMBER:

SQL Fiddle

WITH Cte AS(
    SELECT *,
        RnAsc = ROW_NUMBER() OVER(PARTITION BY [group] ORDER BY val),
        RnDesc = ROW_NUMBER() OVER(PARTITION BY [group] ORDER BY val DESC)
    FROM tbl
)
SELECT
    id, [group], val, start, [end]
FROM Cte
WHERE
    RnAsc = 1 OR RnDesc = 1
ORDER BY [group], val

This is one way -

select  t.*
from    tbl t
join    (
        select [group],
               min(val) as val_1,
               max(val) as val_2
        from   tbl
        group by [group]
        ) v
     on t.[group] = v.[group]
    and (t.val = v.val_1
     or t.val = v.val_2);

Fiddle: http://sqlfiddle.com/#!3/c682f/1/0

Another approach:

select id, [group], val, [start], [end]
from(
select t.*,
       max(val) over(partition by [group]) as max_grp,
       min(val) over(partition by [group]) as min_grp
from tbl t
) x
where val in (max_grp,min_grp)