как говорится, решение в лоб, но дешево, надежно и практично

use pubs
go

set nocount on

create table dates (date datetime)

insert into dates values('20010101')
insert into dates values('20010102')
insert into dates values('20010103')
insert into dates values('20010105')
insert into dates values('20010106')
insert into dates values('20010108')
insert into dates values('20010110')
insert into dates values('20010112')
insert into dates values('20010113')
insert into dates values('20010116')
insert into dates values('20010117')
insert into dates values('20010122')
insert into dates values('20010123')
insert into dates values('20010125')
insert into dates values('20010126')
insert into dates values('20010130')

select date
from dates
order by 1

create table #dates (date datetime)

declare @i datetime, @j datetime

select @i = min(date), @j = max(date)
from dates

while (@i < @j) begin

if not exists (select date from dates where date = @i)

insert into #dates values(@i)

Set @i = @i + 1
end

select * from #dates order by 1

drop table #dates
drop table dates

set nocount off