T-SQL syntax does not require a semicolon to terminate a statement.
Actually, this is deprecated1. I can’t remember for sure, but I think you can still get away with not using them in the upcoming SQL Server 2012, but some version after that will likely require a semi-colon for every statement. Using a semi-colon is also technically required by the ansi standard. The point is that now is the time to get in the habit of using one for every statement.
As a practical matter, I don’t expect them to follow through with this directly. Rather, I expect SQL Server Management Studio and other development tools to first start issuing warnings instead of errors, perhaps for several versions. This will help developers find and fix all the old non-compliant code. But that doesn’t lessen the message: semi-colons are coming, and soon.
For a simple heuristic on when not to use a semi-colon, think of the code as if it were a procedural language that used curly brackets for blocks, like C/C++. Statements that would be paired with an opening (not closing) curly bracket if written in the procedure language should not get a semi-colon.
1It’s almost all the way at the bottom of the page