T-SQL: How to Select Values in Value List that are NOT IN the Table?

For SQL Server 2008

SELECT email,
       CASE
         WHEN EXISTS(SELECT *
                     FROM   Users U
                     WHERE  E.email = U.email) THEN 'Exist'
         ELSE 'Not Exist'
       END AS [Status]
FROM   (VALUES('email1'),
              ('email2'),
              ('email3'),
              ('email4')) E(email)  

For previous versions you can do something similar with a derived table UNION ALL-ing the constants.

/*The SELECT list is the same as previously*/
FROM (
SELECT 'email1' UNION ALL
SELECT 'email2' UNION ALL
SELECT 'email3' UNION ALL
SELECT 'email4'
)  E(email)

Or if you want just the non-existing ones (as implied by the title) rather than the exact resultset given in the question, you can simply do this

SELECT email
FROM   (VALUES('email1'),
              ('email2'),
              ('email3'),
              ('email4')) E(email)  
EXCEPT
SELECT email
FROM Users