At one point I answered this question over at StackOverflow, but it seems like it would be useful to have that information at DBA.SE as well, revised and updated.
Just to be totally explicit: TSQL does not (by itself) have the ability to launch other TSQL operations asynchronously.
That doesn't mean you don't still have a lot of options (some of them mentioned in other answers):
- SQL Agent jobs: Create multiple SQL jobs, and either schedule them to run at the time desired, or start them asynchronously from a "master control" stored proc using
sp_start_job. If you need to monitor their progress programatically, just make sure the jobs each update a custom JOB_PROGRESS table (or you can check to see if they have finished yet using the undocumented function
xp_sqlagent_enum_jobs as described in this excellent article by Gregory A. Larsen). You have to create as many separate jobs as you want parallel processes running, even if they are running the same stored proc with different parameters.
- SSIS Package: Create an SSIS package with a simple branching task flow. SSIS will launch those tasks in individual spids, which SQL will execute in parallel.
- Custom application: Write a simple custom app in the language of your choice (C#, Powershell, etc), using the asynchronous methods provided by that language. Call a SQL stored proc on each application thread.
- OLE Automation: In SQL, use
sp_oamethod to launch a new process calling each other stored proc as described in this article, also by Gregory A. Larsen.
- Service Broker: Look into using Service Broker, a good example of asynchronous execution in this article.
- CLR Parallel Execution: Use the CLR commands
Parallel_Execute as described in this article by Alan Kaplan (SQL2005+ only).
- Scheduled Windows Tasks: Listed for completeness, but I'm not a fan of this option.
If it were me, I'd probably use multiple SQL Agent Jobs in simpler scenarios, and an SSIS package in more complex scenarios.
In your case, unless you're trying to launch 200 separate threads, multiple scheduled Agent jobs sounds like a simple and manageable choice.
One final comment: SQL already attempts to parallelize individual operations whenever it can*. This means that running 2 tasks at the same time instead of after each other is no guarantee that it will finish sooner. Test carefully to see whether it actually improves anything or not.
We had a developer that created a DTS package to run 8 tasks at the same time. Unfortunately, it was only a 4-CPU server :)
*Assuming default settings. This can be modified by altering the server's Maximum Degree of Parallelism or Affinity Mask, or by using the MAXDOP query hint.