In the SQL-92 standard for SQL (Structured Query Language), placing -- before a single line of text comments it out (i.e. the code following it is not evaluated by the server). If placed in the middle of a line, -- comments out everything to the right of itself on that line. The one restriction is that placing the command GO on a line after -- will generate an error message. Comments like this are mostly used to document and explain stored procedures.
To comment out more than one line of text in SQL, it's better to use /* and */ at the beginning and end of the relevant section, rather than placing -- at the beginning of each line.
-- is also the one-line comment marker for Haskell, with {- and -} the multiline delimiters (thanks to resiak for this info).