The splitter that Lynn mentions is awesome at splitting strings. However it sounds like you are looping in the front end to get the selected values? Assuming that you are using 2008 you could also look at passing in a table valued parameter instead. In the front end instead of building a comma separated list, you add rows to a dataset and pass that dataset to sql as a parameter. SQL can now treat that like a table.
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Need to split a string? Try Jeff Modens splitter http://www.sqlservercentral.com/articles/Tally+Table/72993/.
Cross Tabs and Pivots, Part 1 – Converting Rows to Columns - http://www.sqlservercentral.com/articles/T-SQL/63681/
Cross Tabs and Pivots, Part 2 - Dynamic Cross Tabs - http://www.sqlservercentral.com/articles/Crosstab/65048/
Understanding and Using APPLY (Part 1) - http://www.sqlservercentral.com/articles/APPLY/69953/
Understanding and Using APPLY (Part 2) - http://www.sqlservercentral.com/articles/APPLY/69954/