Or you could use a substatute char in the string. There are obvious disadvantages with this, but there is a lot less string concantination and that is a good thing...

DECLARE @sql nvarchar(2000), @pram1 nvarchar(100)

SET @pram1 = 'West'

SET @sql = Replace(

'

SELECT

    col1 AS "Hello Kitty",

    col2 AS "Today is Today",

    col3 AS "War is hell"

FROM

    dbo.table1

WHERE

    col4 = "' + @pram1 + '"'

, '"', '''')

PRINT @sql