I believe the following function is faster than all the above suggested:

CREATE FUNCTION dbo.fnSeqDates

(

    @LowDate DATETIME,

    @HighDate DATETIME

)

RETURNS @Dates TABLE

        (

            SeqDate DATETIME

        )

AS

BEGIN

 DECLARE @Temp DATETIME

 DECLARE @NumberOfDays int

 IF @LowDate > @HighDate

  SELECT @Temp = @LowDate,

   @LowDate = DATEADD(day, DATEDIFF(day, 0, @HighDate) - 1, 0),

   @HighDate = DATEADD(day, DATEDIFF(day, 0, @Temp), 0)

 ELSE

         SELECT @LowDate = DATEADD(day, DATEDIFF(day, 0, @LowDate) - 1, 0),

   @HighDate = DATEADD(day, DATEDIFF(day, 0, @HighDate), 0)

 SELECT @NumberOfDays = DATEDIFF(d, @LowDate, @HighDate)

 INSERT @Dates

  SELECT DATEADD(d, Number, @LowDate) AS Date FROM Numbers WHERE Number <= @NumberOfDays

 RETURN

END

GO

It uses a Numbers table, containing all Numbers less than, say 1000000. This can be created once and for all as follows:

SELECT TOP 1000000 Number = IDENTITY(INT, 1, 1) INTO Numbers

FROM

    sysobjects a1

  CROSS JOIN

    sysobjects a2

  CROSS JOIN

    sysobjects a3

  CROSS JOIN

    sysobjects a4

  CROSS JOIN

    sysobjects a5

ALTER TABLE Numbers

        ADD CONSTRAINT Index_Numbers PRIMARY KEY CLUSTERED(Number)

GO