Why do wildcards in GROUP BY statements not work?

GROUP BY A.* is not allowed in SQL.

You can bypass this by using a subquery where you group by, and then join:

SELECT A.*, COALESCE(B.cnt, 0) AS Count_B_Foo
FROM TABLE1 AS A
  LEFT JOIN 
      ( SELECT FKey, COUNT(foo) AS cnt
        FROM TABLE2 
        GROUP BY FKey
      ) AS B 
    ON A.PKey = B.FKey ;

---

There is a feature in SQL-2003 standard to allow in the SELECT list, columns that are not in the GROUP BY list, as long as they are functionally dependent on them. If that feature had been implemented in SQL-Server, your query could have been written as:

SELECT A.*, COUNT(B.foo)
FROM TABLE1 A
LEFT JOIN TABLE2 B ON A.PKey = B.FKey
GROUP BY A.pk                          --- the Primary Key of table A

Unfortunately, this feature has not yet been implemented, not even in SQL-Server 2012 version - and not in any other DBMS as far as I know. Except for MySQL which has it but inadequately (inadequately as: the above query will work but the engine will do no checking for functional dependency and other ill-written queries will show wrong, semi-random results).

As @Mark Byers informed us in a comment, PostgreSQL 9.1 added a new feature designed for this purpose. It is more restrictive than MySQL's implementation.

In addition to @ypercube's workaround, "typing" is never an excuse for using SELECT *. I've written about this here, and even with the workaround I think your SELECT list should still include the column names - even if there are a massive number like 40.

Long story short, you can avoid typing these big lists by clicking and dragging the Columns node for the object in Object Explorer onto your query window. The screen shot shows a view but the same thing can be done for a table.

But if you want to read about all the reasons why you should subject yourself to this huge level of effort of dragging an item a few inches, please read my post. :-)