Because the SQL Server dev team at Microsoft don't have enough to do, I present you with a really silly suggestion that would make my life just that little bit easier:

@@clipboard

I want a special variable (it only needs to work within SQL Server Management Studio) that lets me interact with the clipboard, so I could have queries in separate windows talk to each other, like this:

Window1:

SELECT TOP 1 @@clipboard = EmpID FROM Employees

Windows 2:

SELECT * FROM Orders WHERE EmpID = @@clipboard

Yes, this is a contrived example. Yes, there are ways to get around it. Yes, it only saves me a Ctrl+C and a Ctrl+V. I don't care! :)

Obviously the type of @@clipboard would need to be varbinary(max) or something, and therefore I'd have to cast or convert it in my queries. Still ... I think this would be pretty funky. Perhaps in SQL Server 2011. :)