SQL Server 2005 BOL says about BREAK:
Exits the innermost loop in a WHILE or IF…ELSE statement.
I don't understand this part about IF…ELSE. It looks like you can put BREAK inside IF. Actually BREAK works only inside WHILE, and control flow pass after loop's END. BREAK not in a WHILE context fires error, and that's completely OK.
My question is - why documentation mention IF...ELSE?
BTW, SQL Server 2000 BOL says only this:
Exits the innermost WHILE loop.