Better T-SQL cursor loops

I'm going to begin by saying that you should always use set based operations instead of loops when set based operators are an option. If you don't understand that please read this blog from Microsoft's SQL team. Set operations have three significant benefits:

1. In T-SQL set operations will outperform loops, usually by several orders of magnitude (meaning they are hundreds or thousands of times faster, hours to seconds improvements)
2. Set operations usually involve less code, so they have fewer defects.
3. Set operations usually involve less code, so they are quicker to code.

Still, there are lots of things that you can not do in a set operation. The internet, and books online, are full of naive examples of cursor loops. This loop that is generally demonstrated can be improved so that:

1. The code doesn’t repeat the fetch. Two fetches can be quite cumbersome when the column list is long and they are an opportunity for error (different column order in different fetches).
2. This code allows the programmer perform the same action (say an INSERT) on the last row after it we know it is the last row with an IF without repeating the code for the action.
3. The naive loop prevents the use of CONTINUE statements inside the loop to bypass heavily nested logic as it places the FETCH as at the bottom of the loop.

Here is a better T-SQL cursor loop:

OPEN TableCur

WHILE( 1 = 1 ) /* Loop terminates by BREAKing on @@FETCH_STATUS */

BEGIN

       FETCH NEXT FROM TableCur INTO @TableName

       IF (@@FETCH_STATUS <> 0) BREAK /* Exit the loop when the cursor is empty */

       /* Logic goes here, for example */
       print @TableName

END

CLOSE TableCur