I got the same thing when I ran this code:

CREATE TABLE T

( ID int NOT NULL,

Code varchar(10) NULL)

INSERT INTO T SELECT 1,'AAAA' GO

BEGIN Tran t1

DROP TABLE T

ROLLBACK Tran GO

SELECT * FROM T

But when I moved the "GO" in the ROLLBACK Tran GO to the next line and ran it as this:

CREATE TABLE T

( ID int NOT NULL,

Code varchar(10) NULL)

INSERT INTO T SELECT 1,'AAAA' GO

BEGIN Tran t1

DROP TABLE T

ROLLBACK Tran

GO

SELECT * FROM T

it ran just fine with the expected response. SQL was probably looking at the GO as the alias for Tran and that was messing things up as there was no GO transaction. At least, that's what I think is the reason behind why it didn't work the first time.