I'd use a TallyTable based method:

DECLARE @day DATETIME, @interval INT

SET @interval = 15

SET @day = '2010-11-22'

;

WITH splitTimes AS

(

SELECT DATEADD(MINUTE, @interval * (N-1), @day) splitTime

FROM Tally

WHERE N<=(24*60/@interval)

)

SELECT

agent.Agent,

cast(sp.splitTime as time) as splitTime

FROM #AgentSession sess

LEFT OUTER JOIN #Agents agent ON sess.agentid = agent.agentid

CROSS JOIN splitTimes sp

WHERE sess.sessionstart >= @day -- 20101122 00:00

AND sess.sessionend < DateAdd(hour, 20, DateAdd(minute, 1, @day)) -- 20101122 20:01

ORDER BY sp.splitTime