static void Main(string[] args)
{
  using (var cnn = new SqlConnection(@"Data Source=.;Initial Catalog=master;Integrated Security=True"))
  {
    cnn.Open();
    using (var cmd = new SqlCommand(@"
      ;with cte(dt) as (
      select convert(datetime, '20000502')
      union all
      select convert(datetime, '20000120')
      )
      select * from cte where dt between @fd and @td
    ", cnn))
    {
      cmd.Parameters.AddWithValue("@fd", new DateTime(2000, 5, 1));
      cmd.Parameters.AddWithValue("@td", new DateTime(2000, 5, 3));
      using(var rd = cmd.ExecuteReader())
        while(rd.Read())
          Console.WriteLine(rd.GetDateTime(0));
    }
  }
  Console.ReadKey(true);
}

exec sp_executesql N'
;with cte(dt) as (
	select convert(datetime, ''20000502'')
	union all
	select convert(datetime, ''20000120'')
)
select * from cte where dt between @fd and @td
			',N'@fd datetime,@td datetime',@fd='May  1 2000 12:00:00:000AM',@td='May  3 2000 12:00:00:000AM'

exec sp_executesql N'
;with cte(dt) as (
	select convert(datetime, ''20000502'')
	union all
	select convert(datetime, ''20000120'')
)
select * from cte where dt between @fd and @td
			',N'@fd datetime,@td datetime',@fd='2000-05-01 00:00:00',@td='2000-05-03 00:00:00'