TSQL - How to use GO inside of a BEGIN .. END block?

I had the same problem and finally managed to solve it using SET NOEXEC.

IF not whatever
BEGIN
    SET NOEXEC ON; 
END

ALTER TABLE dbo.EMPLOYEE ADD COLUMN EMP_IS_ADMIN BIT NOT NULL
GO
UPDATE dbo.EMPLOYEE SET EMP_IS_ADMIN = whatever

SET NOEXEC OFF; 

You could try sp_executesql, splitting the contents between each GO statement into a separate string to be executed, as demonstrated in the example below. Also, there is a @statementNo variable to track which statement is being executed for easy debugging where an exception occurred. The line numbers will be relative to the beginning of the relevant statement number that caused the error.

BEGIN TRAN

DECLARE @statementNo INT
BEGIN TRY
    IF 1=1
    BEGIN
        SET @statementNo = 1
        EXEC sp_executesql
            N'  ALTER TABLE dbo.EMPLOYEE
                    ADD COLUMN EMP_IS_ADMIN BIT NOT NULL'

        SET @statementNo = 2
        EXEC sp_executesql
            N'  UPDATE dbo.EMPLOYEE
                    SET EMP_IS_ADMIN = 1'

        SET @statementNo = 3
        EXEC sp_executesql
            N'  UPDATE dbo.EMPLOYEE
                    SET EMP_IS_ADMIN = 1x'
    END
END TRY
BEGIN CATCH
    PRINT 'Error occurred on line ' + cast(ERROR_LINE() as varchar(10)) 
       + ' of ' + 'statement # ' + cast(@statementNo as varchar(10)) 
       + ': ' + ERROR_MESSAGE()
    -- error occurred, so rollback the transaction
    ROLLBACK
END CATCH
-- if we were successful, we should still have a transaction, so commit it
IF @@TRANCOUNT > 0
    COMMIT

You can also easily execute multi-line statements, as demonstrated in the example above, by simply wrapping them in single quotes ('). Don't forget to escape any single quotes contained inside the string with a double single-quote ('') when generating the scripts.

You can enclose the statements in BEGIN and END instead of the GO inbetween

IF COL_LENGTH('Employees','EMP_IS_ADMIN') IS NULL --Column does not exist
BEGIN
    BEGIN
        ALTER TABLE dbo.Employees ADD EMP_IS_ADMIN BIT
    END

    BEGIN
        UPDATE EMPLOYEES SET EMP_IS_ADMIN = 0
    END
END

(Tested on Northwind database)

Edit: (Probably tested on SQL2012)

GO is not SQL - it is simply a batch separator used in some MS SQL tools.

If you don't use that, you need to ensure the statements are executed separately - either in different batches or by using dynamic SQL for the population (thanks @gbn):

IF whatever
BEGIN
    ALTER TABLE dbo.EMPLOYEE ADD COLUMN EMP_IS_ADMIN BIT NOT NULL;

    EXEC ('UPDATE dbo.EMPLOYEE SET EMP_IS_ADMIN = whatever')
END