SQL Server FOR EACH Loop

This kind of depends on what you want to do with the results. If you're just after the numbers, a set-based option would be a numbers table - which comes in handy for all sorts of things.

For MSSQL 2005+, you can use a recursive CTE to generate a numbers table inline:

;WITH Numbers (N) AS (
    SELECT 1 UNION ALL
    SELECT 1 + N FROM Numbers WHERE N < 500 
)
SELECT N FROM Numbers
OPTION (MAXRECURSION 500)

SQL is primarily a set-orientated language - it's generally a bad idea to use a loop in it.

In this case, a similar result could be achieved using a recursive CTE:

with cte as
(select 1 i union all
 select i+1 i from cte where i < 5)
select dateadd(d, i-1, '2010-01-01') from cte

Here is an option with a table variable:

DECLARE @MyVar TABLE(Val DATETIME)
DECLARE @I INT, @StartDate DATETIME
SET @I = 1
SET @StartDate = '20100101'

WHILE @I <= 5
BEGIN
    INSERT INTO @MyVar(Val)
    VALUES(@StartDate)

    SET @StartDate = DATEADD(DAY,1,@StartDate)
    SET @I = @I + 1
END
SELECT *
FROM @MyVar

You can do the same with a temp table:

CREATE TABLE #MyVar(Val DATETIME)
DECLARE @I INT, @StartDate DATETIME
SET @I = 1
SET @StartDate = '20100101'

WHILE @I <= 5
BEGIN
    INSERT INTO #MyVar(Val)
    VALUES(@StartDate)

    SET @StartDate = DATEADD(DAY,1,@StartDate)
    SET @I = @I + 1
END
SELECT *
FROM #MyVar

You should tell us what is your main goal, as was said by @JohnFx, this could probably be done another (more efficient) way.

You could use a variable table, like this:

declare @num int

set @num = 1

declare @results table ( val int )

while (@num < 6)
begin
  insert into @results ( val ) values ( @num )
  set @num = @num + 1
end

select val from @results