Best way to store old dates in SQL Server

The date type is definitely what you want to use. It's range is "January 1, 1 A.D. through December 31, 9999 A.D." It also just stores date information, without the time part.

Are you, perhaps, using SSMS 2005, rather than 2008, or connected to a 2005 instance? That type was introduced in SQL Server 2008. If you have the ability to use a 2008 database, I would think that it unquestionably the way to go.

Strings would probably be less efficient than just storing integers for the year, month and day. That's a little more verbiage in your queries, but they'll probably run faster as you can index them in ways that make sense for the kinds of queries you're doing.

So for example:

CREATE TABLE myOldDates (
  year INT,
  month INT,
  day INT,
  -- otherstuff ...
)

Then queries would all be like:

-- get records between 5/15/1752 and 3/19/1754
SELECT * FROM myOldDates
  WHERE 
    (year = 1752 AND ((month = 5 and day >= 15) or month > 5) OR year > 1752)
    AND (year = 1754 AND ((month = 3 and day <= 19) or month < 3) OR year < 1754)

That is ugly, to be sure, but that's about as ugly as it gets for range queries, so once you write it the first time, you can encapsulate it in a function.

I've never done this but maybe you could store the date as an integer representing number of days since whatever minimum date suits you. Then you could either create a lookup table that maps those integers to a year, month, and day, or you could write user defined functions to convert from an integer to a date or vice versa.

That should be fairly efficient in terms of selecting and sorting.