As Damian pointed out, you can do a lot of cool things with DOS command-line functions. Lately I'm particularly enamored of the for command.
The DOS for command works like a for...next loop in Basic, C/C++/C#, Java(Script) etc., only you can have it traverse a filespec (like dir *.txt would), a directory tree, or even the contents of a file. To modify Damian's example a little, you could actually execute each individual SQL script with the following:
for %a in (*.sql) do osql -E -Sserver <%a
The %a is a DOS replaceable parameter, and it holds the complete file name of each file in the *.sql file spec. for evaluates the osql command for each of them.
And if you haven't already seen it, you can use this to answer an age-old import question: how do I import ALL of the text files in a folder? If they are all the same format and all need to go into the same table, it's easy:
for %a in (c:\myfolder\*.txt) do bcp mydatabase..mytable in %a -T -Smyserver -c
I got this from an MVP newsgroup post and I can't remember who posted it, but I have to thank her for posting it! I have a couple of other cute tricks that I'll post later, in the meantime I recommend you take a look at the Windows Help file (bet you don't even know where it is!) for more info on for. Also check out find and sort.