New line in Sql Query

Pinal Dave explains this well in his blog.

http://blog.sqlauthority.com/2009/07/01/sql-server-difference-between-line-feed-n-and-carriage-return-r-t-sql-new-line-char/

DECLARE @NewLineChar AS CHAR(2) = CHAR(13) + CHAR(10)
PRINT ('SELECT FirstLine AS FL ' + @NewLineChar + 'SELECT SecondLine AS SL')

You could do Char(13) and Char(10). Cr and Lf.

Char() works in SQL Server, I don't know about other databases.