Good point on the execution plans EdwardG. This example may be trivial enough that SELECT * is not better than SELECT 1. I should have stated more clearly that it is good practice to use SELECT * in an EXISTS because it can give performance improvements. Your mileage may vary.

There is no inherent problem with using the WHILE clause just as I posted it. I certainly didn't sanction the code you posted but it is a good example and well worth noting. You never want to get stuck in an infinite loop. Error checking should also always be done.

    DROP TABLE Experimental_parameters
    IF @@ERROR <> 0 BEGIN
         --DO SOMETHING HERE (i.e. RAISERROR & RETURN)
    END
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Update: I just read the OP. I was replying to Re^2: T-SQL problem - Perl solution? which didn't indicate a temp table or code inside the WHILE. My sanctioned code could yield the behavior EdwardG posted based on the OP. The OP had

if (SELECT COUNT(*) FROM #Experimental_parameters) <> 0 begin DROP TAB
+LE Experimental_parameters end
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Error hanling code needs to be used inside the WHILE.

Good call EdwardG. Thanks