You mean build an SQL statement in a nvarachar variable and then execute it? Well well well ... this has two big problems. The first being that this way you force the server to generate a query plan for each execution which may be a rather expensive operation. And the second, even more important, is that this is prone to SQL injection attacks. And it's even more dangerous than SQL statements built in the pages/scripts. First because it's kinda hidden in something that's by most believed to be safe and second because the statement is executed with the permissions of the stored procedure owner (usually dbo!) instead of the permissions of the user accessing the database!

I can't say I never use this, but I do try to take this as a last resort solution. It's much better, even if not very convenient to branch out and write several SELECT statements. That way the server may generate and REMEMBER the query plans for each of the cases and there is nothing ad-hoc generated and therefore dangerous:

CREATE PROCEDURE [dbo].[dynamic_example]
  @lastname varchar(50) = NULL,
  @firstname varchar(50) = NULL
AS
BEGIN
  IF (@lastname IS NULL)
    IF (@firstname IS NULL)
      SELECT * from Users
    ELSE
      SELECT * from Users
       WHERE (users.firstname LIKE @firstname)
  ELSE
    IF (@firstname IS NULL)
      SELECT * from Users
       WHERE (users.lastname LIKE @lastname)
    ELSE
      SELECT * from Users
       WHERE (users.lastname LIKE @lastname)
         AND (users.firstname LIKE @firstname)
END
GO
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