In the SQL 2005 world, I've wondered (but not implemented) code using the SQLCMD metacommand :setvar and :r. One could use these like #define and #include in C++.
File1.sql
#setvar enumMale M
#setvar enumFemale F
File2.sql:
:r file1.sql
select Name from Person where Sex = '$(enumMale)'
The above is contrived and simplistic, but you get the idea - rather than going for enum, just go for symbolic substitution.