Fewer steps and converts nulls to blanks if you want them (take out the ISNULL operator if you don't want null values). You can also easily make the delimiter a defined variable.

--Create a test table

CREATE TABLE dbo.Test (testval VARCHAR(10))

GO

--Insert values for testing

INSERT INTO dbo.Test (testval) VALUES ('T1')

INSERT INTO dbo.Test (testval) VALUES ('T2')

INSERT INTO dbo.Test (testval) VALUES (NULL)

INSERT INTO dbo.Test (testval) VALUES ('T3')

GO

DECLARE @i NVARCHAR(MAX)

SELECT @i = COALESCE(@i + ',','') + CAST((ISNULL(testval,'')) AS NVARCHAR(MAX))

FROM dbo.Test

SELECT @i