Ok this is more just a little trick with Dynamic sql, but it saves you tons of code and you avoid having to use cursors or single row iterations.  You can use it anywhere you would a cursor.  More set based operations…Horray!!!!

For this example we will do backups 

declare @sql nvarchar(max) -- used for dynamic sql
declare @fileDate varchar(20) -- used for file name

select @fileDate = convert(varchar(20),getdate(),112) -- used for file name

set @sql = 'declare @fileName varchar(256)' + char(13)-- we need a declare statement for filename

select @sql = @sql + char(13)+
'set @fileName = ''c:/backup/'+ name + '_' + @fileDate + '.BAK''' + char(13)+
'backup database '+ [name] + ' to disk = @fileName '+ char(13)
from sys.sysdatabases
where name not in ('master','model','msdb','tempdb') 

exec sp_executesql @sql

Here is a snippit from http://www.mssqltips.com/tip.asp?tip=1070 that illustrates a simple cursor alternative

DECLARE @name VARCHAR(50) -- database name
DECLARE @path VARCHAR(256) -- path for backup files
DECLARE @fileName VARCHAR(256) -- filename for backup
DECLARE @fileDate VARCHAR(20) -- used for file name

SET @path = 'C:Backup' 

SELECT @fileDate = CONVERT(VARCHAR(20),GETDATE(),112)

DECLARE db_cursor CURSOR FOR
SELECT name
FROM master.dbo.sysdatabases
WHERE name NOT IN ('master','model','msdb','tempdb') 

OPEN db_cursor
FETCH NEXT FROM db_cursor INTO @name  

WHILE @@FETCH_STATUS = 0
BEGIN
       SET @fileName = @path + @name + '_' + @fileDate + '.BAK'
       BACKUP DATABASE @name TO DISK = @fileName 

       FETCH NEXT FROM db_cursor INTO @name
END  

CLOSE db_cursor
DEALLOCATE db_cursor

When you compare the two and look at the profiler results it is an extreme performance increase as well

dbcc dropcleanbuffers
dbcc freeproccache
go

declare @sql nvarchar(max) -- used for dynamic sql
declare @fileDate varchar(20) -- used for file name

select @fileDate = convert(varchar(20),getdate(),112) -- used for file name

set @sql = 'declare @fileName varchar(256)' + char(13)-- we need a declare statement for filename

select @sql = @sql + char(13)+
'set @fileName = ''c:/backup/'+ name + '_' + @fileDate + '.BAK''' + char(13)+
'backup database '+ [name] + ' to disk = @fileName '+ char(13)
from sys.sysdatabases
where name not in ('master','model','msdb','tempdb') 

print( @sql )
go

dbcc dropcleanbuffers
dbcc freeproccache
go

DECLARE @name VARCHAR(50) -- database name
DECLARE @path VARCHAR(256) -- path for backup files
DECLARE @fileName VARCHAR(256) -- filename for backup
DECLARE @fileDate VARCHAR(20) -- used for file name

SET @path = 'C:Backup' 

SELECT @fileDate = CONVERT(VARCHAR(20),GETDATE(),112)

DECLARE db_cursor CURSOR FOR
SELECT name
FROM master.dbo.sysdatabases
WHERE name NOT IN ('master','model','msdb','tempdb') 

OPEN db_cursor
FETCH NEXT FROM db_cursor INTO @name  

WHILE @@FETCH_STATUS = 0
BEGIN
       SET @fileName = @path + @name + '_' + @fileDate + '.BAK'
      Print ('BACKUP DATABASE @name TO DISK = ' + @fileName) 

       FETCH NEXT FROM db_cursor INTO @name
END  

CLOSE db_cursor
DEALLOCATE db_cursor

When you run this and profile the results you can see the duration, reads and cpu use are dramatically less.