Two definite issues:

1. You have to watch your data types. In your CASE expression your default case outputs a 0, which will default to an INT in SQL Server. Try putting the 0 in single quotes so SQL Server views it as a string-literal.

2. The ending command for an explicit transaction is not END, it is COMMIT TRANSACTION.

BEGIN TRANSACTION;

Declare @b-2 varchar(100);

SET @b-2 = 'Nodia';

Declare @D varchar(100);

SET @D = 'Delhi';

Update employee

SET city =(Case

WHEN city = 'Agra' THEN @b-2

WHEN city = 'London' THEN @D

ELSE '0'

END);

COMMIT TRANSACTION;

One potential issue:

1. Do you need a WHERE-clause? Your update statement will update all rows in the table. Are you sure that is what you want?