Another option:
declare @commaStringList varchar(max)
set @commaStringList = ''
select @commaStringList = @commaStringList + ', ' +
CAST(ColumnName as VARCHAR) from MyTable
if len(@commaStringList) > 3
set @commaStringList = substring(@commaStringList, 3, len(@commaStringList) - 2)
select @commaStringList