Using UNION, EXCEPT and INTERSECT with Other Transact-SQL Statements
Follow these guidelines when using UNION, EXCEPT and INTERSECT with other Transact-SQL statements:
The first query can contain an INTO clause that creates a table to hold the final result set. Only the first query can use an INTO clause. If the INTO clause appears anywhere else, SQL Server 2005 displays an error message.
ORDER BY is allowed only at the end of the statement. It cannot be used within the individual queries that make up the statement.
Note: Using one ORDER BY clause applies only to when using UNION, EXCEPT and INTERSECT in a top-level query and not in a subquery.
GROUP BY and HAVING clauses can be used only within individual queries; they cannot be used to affect the final result set.
UNION, EXCEPT and INTERSECT can be used within an INSERT statement.
The FOR BROWSE clause cannot be used in statements that involve the UNION, EXCEPT and INTERSECT operators.