Nice question.

Along the same lines of "no rows returned, do nothing", I have a feeling that it may be a case of "400 rows returned, assign 400 values to the same variable" so you are just left with the last one it assigned.

My question is, if you're not doing anything with that variable (i.e. "select @val = col from tab" rather than "select @val = @val + col from tab"), does the optimizer spot this and skip all the variable assignments and just do the last one, or are you inadvertantly creating overhead by assigning every single value that you will never see?