How to DROP multiple columns with a single ALTER TABLE statement in SQL Server?

For SQL Server:

ALTER TABLE TableName
    DROP COLUMN Column1, Column2;

The syntax is

DROP { [ CONSTRAINT ] constraint_name | COLUMN column } [ ,...n ] 

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For MySQL:

ALTER TABLE TableName
    DROP COLUMN Column1,
    DROP COLUMN Column2;

or like this¹:

ALTER TABLE TableName
    DROP Column1,
    DROP Column2;

¹ The word COLUMN is optional and can be omitted, except for RENAME COLUMN (to distinguish a column-renaming operation from the RENAME table-renaming operation). More info here.

Summarizing

Oracle:

ALTER TABLE table_name DROP (column_name1, column_name2);

MS SQL Server:

ALTER TABLE table_name DROP COLUMN column_name1, column_name2

MySQL:

ALTER TABLE table_name DROP column_name1, DROP column_name2;

PostgreSQL

ALTER TABLE table_name DROP COLUMN column_name1, DROP COLUMN column_name2;

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Be aware

DROP COLUMN does not physically remove the data for some DBMS. E.g. for MS SQL. For fixed length types (int, numeric, float, datetime, uniqueidentifier etc) the space is consumed even for records added after the columns were dropped. To get rid of the wasted space do ALTER TABLE ... REBUILD.

This may be late, but sharing it for the new users visiting this question. To drop multiple columns actual syntax is

alter table tablename drop column col1, drop column col2 , drop column col3 ....

So for every column you need to specify "drop column" in Mysql 5.0.45.

create table test (a int, b int , c int, d int);
alter table test drop column b, d;

Be aware that DROP COLUMN does not physically remove the data, and for fixed length types (int, numeric, float, datetime, uniqueidentifier etc) the space is consumed even for records added after the columns were dropped. To get rid of the wasted space do ALTER TABLE ... REBUILD.