insert into @T1 (UserID,UserName,CityName) values (1,'a','上海')
insert into @T1 (UserID,UserName,CityName) values (2,'b','北京')
insert into @T1 (UserID,UserName,CityName) values (3,'c','上海')
insert into @T1 (UserID,UserName,CityName) values (4,'d','北京')
insert into @T1 (UserID,UserName,CityName) values (5,'e','上海')

select * from @T1

-----最优的方式
SELECT CityName,STUFF((SELECT ',' + UserName FROM @T1 subTitle WHERE CityName=A.CityName FOR XML PATH('')),1, 1, '') AS A
FROM @T1 A
GROUP BY CityName

----第二种方式
SELECT B.CityName,LEFT(UserList,LEN(UserList)-1)
FROM (
  SELECT CityName,(SELECT UserName+',' FROM @T1 WHERE CityName=A.CityName FOR XML PATH('')) AS UserList
  FROM @T1 A
  GROUP BY CityName
     ) B

stuff(select ',' + fieldname  from tablename for xml path('')),1,1,'')