Its a little difficult to explain. It might be easier to skip to the examples.
A table has an id and four columns that each allow null.
ID, Col1, Co
Try this one
With MyTables as
(
SELECT [Col1] as [ColX] FROM [Test].[dbo].[MyTable]
Union
SELECT [Col2] as [ColX] FROM [Test].[dbo].[MyTable]
Union
SELECT [Col3] as [ColX] FROM [Test].[dbo].[MyTable]
Union
SELECT [Col4] as [ColX] FROM [Test].[dbo].[MyTable]
)
select ColX from MyTables where ColX is not null