In SQL, a comparison between a null value and any other value (including another null) using a comparison operator (eg =, !=, <, etc) will result in a null, which is considered as false for the purposes of a where clause (strictly speaking, it's "not true", rather than "false", but the effect is the same).

The reasoning is that a null means "unknown", so the result of any comparison to a null is also "unknown". So you'll get no hit on rows by coding where my_column = null.

SQL provides the special syntax for testing if a column is null, via is null and is not null, which is a special condition to test for a null (or not a null).

Here's some SQL showing a variety of conditions and and their effect as per above.

create table t (x int, y int);
insert into t values (null, null), (null, 1), (1, 1);

select 'x = null' as test , x, y from t where x = null
union all
select 'x != null', x, y from t where x != null
union all
select 'not (x = null)', x, y from t where not (x = null)
union all
select 'x = y', x, y from t where x = y
union all
select 'not (x = y)', x, y from t where not (x = y);

returns only 1 row (as expected):

TEST    X   Y
x = y   1   1

See this running on SQLFiddle

<> is Standard SQL-92; != is its equivalent. Both evaluate for values, which NULL is not -- NULL is a placeholder to say there is the absence of a value.

Which is why you can only use IS NULL/IS NOT NULL as predicates for such situations.

This behavior is not specific to SQL Server. All standards-compliant SQL dialects work the same way.

Note: To compare if your value is not null, you use IS NOT NULL, while to compare with not null value, you use <> 'YOUR_VALUE'. I can't say if my value equals or not equals to NULL, but I can say if my value is NULL or NOT NULL. I can compare if my value is something other than NULL.

It's convenient for the way SQL is typically used. Consider this statements:

SELECT people.name, cars.model FROM people
INNER JOIN cars
    ON people.car_licenceplate = cars.licenceplate

If null = null, then this would return all pairs of people with no license plate with all unregistered cars in the database, a usually undesirable result.

It's particularly convenient that, even if you use any null value even in a more complex expression, you won't get a value back, even if other values may also happen to be null. In other languages you'd need to null check everything in advance to get that behavior, having it by default is very convenient for the type of things SQL is typically used for.

null in SQL is exempt from a lot of other rules too. For example they are excluded from unique constraints. All indicating it represents more the absence of a value rather than a special value.

Some other languages do also have a ThreeValueBoolean or a similar type that behaves more like a SQL null, though only for booleans. Also most every language has similar non self-equality for NaN. It's not a concept unique to SQL.

Consider checking documentation:

NULL indicates that the value is unknown. A null value is different from an empty or zero value. No two null values are equal. Comparisons between two null values, or between a null value and any other value, return unknown because the value of each NULL is unknown.