I like the FizzBuzz puzzle.
I use it to identify if an applicant
- prefers using a set or loop based method where both methods are possible
- knows enough T-SQL to generate a numbers list from scratch (or if the person knows a method to generate such a list based on a system table)
- understand how the CASE fuction works
- knows how deal with error messages (usually an applicant would simply add "ELSE number" leading to a conversion error)
This simple test is also a good start to talk about some rather basic SQL internals: (Why does SQL Server try to convert "fizz" to a numeric value?)
The test to find duplicate rows is a good test for solving a common task.