Exemplo de uso do loop WHILE no SQL Server

1) Example of WHILE Loop
DECLARE @intFlag INT
SET @intFlag = 1
WHILE (@intFlag <=5)
BEGIN
PRINT @intFlag
SET @intFlag = @intFlag + 1
END
GO

ResultSet:
1
2
3
4
5

2) Example of WHILE Loop with BREAK keyword
DECLARE @intFlag INT
SET @intFlag = 1
WHILE (@intFlag <=5)
BEGIN
PRINT @intFlag
SET @intFlag = @intFlag + 1
IF @intFlag = 4
BREAK;
END
GO

ResultSet:
1
2
3

3) Example of WHILE Loop with CONTINUE and BREAK keywords
DECLARE @intFlag INT
SET @intFlag = 1
WHILE (@intFlag <=5)
BEGIN
PRINT @intFlag
SET @intFlag = @intFlag + 1
CONTINUE;
IF @intFlag = 4 -- This will never executed
BREAK;
END
GO

ResultSet:
1
2
3
4
5 

Fonte: http://blog.sqlauthority.com/2007/10/24/sql-server-simple-example-of-while-loop-with-continue-and-break-keywords/