Anyone interested in digging further should check out BOL.
Its simplest to look for 'NULL Comparison Search Conditions' in the index & follow the link to 'Null Values' at the bottom of the article (its part of the expression syntax).
Null behaviour is documented quite well in these sections, although previously my info has mostly been gleaned from empirical research & helping those with broken code.
This area is a classic example of where changing a server default can break your code quite horribly:
BP - always use 'set ansi nulls on' for each session
WP1 - forget to check the server setting
WP2 - assume behaviour is the same across versions