I didn't see any similar questions asked on this topic, and I had to research this for something I'm working on right now. Thought I would post the answer for it in case anyone else had the same question.
I found the answer here: http://blog.sqlauthority.com/2007/08/22/sql-server-t-sql-script-to-insert-carriage-return-and-new-line-feed-in-code/
You just concatenate the string and insert a CHAR(13)
where you want your line break.
Example:
DECLARE @text NVARCHAR(100)
SET @text = 'This is line 1.' + CHAR(13) + 'This is line 2.'
SELECT @text
This prints out the following:
This is line 1.
This is line 2.