It's also worth mentioning that GO is not a T-SQL statement. It is a command only recognized by SSMS, sqlcmd and osql, so it can't be used in any T-SQL code that is not executed in any of the three applications mentioned. In other words, SQL Server does not know what GO is.
From BOL:
"SQL Server utilities interpret GO as a signal that they should send the current batch of Transact-SQL statements to an instance of SQL Server. The current batch of statements is composed of all statements entered since the last GO, or since the start of the ad hoc session or script if this is the first GO."