I have mixed feelings about the GO command. It is not a T-SQL statement, it is just something that Management Studio and the other SQL Server tools understand as a batch separator command. Indeed, you can change it to whatever you wish in Management Studio under Tools->Options->Query Execution->SQL Server->General->Batch separator.
So you can write queries like

SELECT * FROM sys.objects
foo
SELECT * FROM sysobjects
foo

Of course I'm still struggling to find a reason why someone would change the GO command.

One thing I've found out recently is its parameter. SQL Server Management Studio seems to accept an integer after the GO command, and this will start an execution loop. For example if you write

PRINT 'Hello word'
GO 5

The result will be:

Beginning execution loop
Hello word
Hello word
Hello word
Hello word
Hello word
Batch execution completed 5 times.


This is perfect for lazy moments when I want to populate a test table with some default values like:

CREATE TABLE foo
    ( a INT PRIMARY KEY IDENTITY
    , b INT DEFAULT 1
    )
GO

I usually write something like:
INSERT TOP (10) INTO foo (b) SELECT 1 FROM sys.objects

but with the parameter to the GO command the above can be achieved with even less typing:

INSERT INTO foo DEFAULT VALUES
GO 10

The above will also insert 10 rows :)
Do let me know if you find a more interesting use for this parameter.

    Andras