This is directly from the BOL's section on SET ANSI_NULL

The SQL-92 standard requires that an equals (=) or not equal to () comparison against a null value evaluates to FALSE.

...

When SET ANSI_NULLS is ON, all comparisons against a null value evaluate to UNKNOWN.

So, if the = or are used, it evaluates to FALSE, but if any other comparison is used it evaluates to UNKNOWN.

-SQLBill