How can I have a newline in a string in sh?

Echo is so nineties and so fraught with perils that its use should result in core dumps no less than 4GB. Seriously, echo's problems were the reason why the Unix Standardization process finally invented the printf utility, doing away with all the problems.

So to get a newline in a string, there are two ways:

# 1) Literal newline in an assignment.
FOO="hello
world"
# 2) Command substitution.
BAR=$(printf "hello\nworld\n") # Alternative; note: final newline is deleted
printf '<%s>\n' "$FOO"
printf '<%s>\n' "$BAR"

There! No SYSV vs BSD echo madness, everything gets neatly printed and fully portable support for C escape sequences. Everybody please use printf now for all your output needs and never look back.

What I did based on the other answers was

NEWLINE=$'\n'
my_var="__between eggs and bacon__"
echo "spam${NEWLINE}eggs${my_var}bacon${NEWLINE}knight"

# which outputs:
spam
eggs__between eggs and bacon__bacon
knight

If you're using Bash, the solution is to use $'string', for example:

STR=$'Hello\nWorld'
echo "$STR" # quotes are required here!

Prints:

Hello
World

If you're using pretty much any other shell, just insert the newline as-is in the string:

STR='Hello
World'

Bash recognizes a number of other backslash escapes characters in the $'' string. Here is an excerpt from the Bash manual page:

Words of the form $'string' are treated specially. The word expands to
string, with backslash-escaped characters replaced as specified by the
ANSI C standard. Backslash escape sequences, if present, are decoded
as follows:
      \a     alert (bell)
      \b     backspace
      \e
      \E     an escape character
      \f     form feed
      \n     new line
      \r     carriage return
      \t     horizontal tab
      \v     vertical tab
      \\     backslash
      \'     single quote
      \"     double quote
      \nnn   the eight-bit character whose value is the octal value
             nnn (one to three digits)
      \xHH   the eight-bit character whose value is the hexadecimal
             value HH (one or two hex digits)
      \cx    a control-x character

The expanded result is single-quoted, as if the dollar sign had not
been present.

A double-quoted string preceded by a dollar sign ($"string") will cause
the string to be translated according to the current locale. If the
current locale is C or POSIX, the dollar sign is ignored. If the
string is translated and replaced, the replacement is double-quoted.

I find the -e flag elegant and straight forward

bash$ STR="Hello\nWorld"

bash$ echo -e $STR
Hello
World

If the string is the output of another command, I just use quotes

indexes_diff=$(git diff index.yaml)
echo "$indexes_diff"