declare @start datetime
declare @end datetime
set @start = '2008-01-01'
set @end = '2012-12-01'
;with cte as
(
    select convert(varchar(6),dateadd(mm,number,@start),112) as date
    from master..spt_values
    where [type] = 'P' and number between 0 and datediff(mm,@start,@end)
)

select * from cte