Identifying which values do NOT match a table row

Use EXCEPT:

SELECT * FROM
  (values (1),(2),(3),(4)) as T(ID)
EXCEPT
SELECT ID 
FROM [TABLE];

See SqlFiddle.

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The values constructor will only work on SQL Server 2008 or later. For 2005, use

SELECT 'value'
UNION SELECT 'value'

as detailed in this SO answer.

I would build up a table variable or temp table containing the IDs that you're searching for... then use Remus's solution, minus the 2008 syntactic sugar:

declare @t table (ID int)
insert into @t values (1)
insert into @t values (2)
insert into @t values (3)
insert into @t values (4)
insert into @t values (5)

select ID from @t
except
select ID
from [Table];

I'm now a couple years wiser (and have a newer SQL Server) than when I asked this question, so to celebrate the Famous Question badge I got for asking this, here's what I would do now. (I don't think I've ever used the EXCEPT operator since.)

I would say the LEFT JOIN method below is more useful than EXCEPT since you can compose it with other joins without needing a CTE.

SELECT v.val
  FROM (VALUES (1), (2), (3), (4), (5)) v (val)
    LEFT JOIN dbo.SomeTable t
      ON t.id = v.val
  WHERE t.id IS NULL;