The following code worked as bad as a [c u r s o r] is supposed to but at least it gave the expected result (had to change it to AdventureWorksDW though, since I'm using SS2K5). Side note: I consider the non-set-based solution as a "valid option" for this task, but definitely not in general (I can't even type the evil word...). 🙂
FETCH NEXT
FROM curtable
INTO @Tablename
WHILE @@FETCH_STATUS=0
BEGIN
SELECT @x
SET @x='select count(*)'+','+' '+@Tablename+' '+'from AdventureWorksDW2008.dbo.'+@Tablename
PRINT (@x)
FETCH NEXT
FROM curtable
INTO @Tablename
END