Another twist (although does basically the same thing)

declare @t table (order_key int, comment char(1))

insert into @t (order_key, comment)

values (1,'a'),(1,'b'),(1,'c'),(2,'a'),(2,'b')

select

order_key,

stuff((select ',' + comment

from @t i

where i.order_key = o.order_key

for xml path ('')), 1,1,'')

from @t o

group by order_key

The query plans are slightly different but on such a small sample set, performance is identical. if one suits your fancy more than the other, use that one.