This is a bit of a mess. In SQL Server 2000 semicolons were optional or in a few cases actually not allowed at the end of statements. In 2005/2008 they are mostly optional but are sometimes mandatory.

I expect semicolons will one day be mandatory for every statement in line with other DBMSs and the SQL standard. It must therefore be good practice always to use semicolons. Unfortunately there's no way to turn on stricter syntax checking for semicolons. That means no matter how careful we are they are bound to get left out somewhere in code and one day we'll all be forced to do a clean-up exercise on the code we're writing today. 🙁