Can someone tell me when and where I need to use begin and end blocks in SQL Server?
Also, what exactly does the Go keyword do?
You need BEGIN ... END to create a block spanning more than one statement. So, if you wanted to do 2 things in one 'leg' of an IF statement, or if you wanted to do more than one thing in the body of a WHILE loop, you'd need to bracket those statements with BEGIN...END.
The GO keyword is not part of SQL. It's only used by Query Analyzer to divide scripts into "batches" that are executed independently.