This is called "Islands and Gaps". An island is a set of rows where the dates are consecutive, bounded by rows with non-consecutive dates. Jeff Moden has a great Spackle article [/url]covering the subject in some detail. Once you've identified the islands, what do you want to do?
Edit: clarity
For fast, accurate and documented assistance in answering your questions, please read this article.
Understanding and using APPLY, (I) and (II) Paul White
Hidden RBAR: Triangular Joins / The "Numbers" or "Tally" Table: What it is and how it replaces a loop Jeff Moden