Please tell me the all kind of loops that we can use in SQL Server 2008. Example of each would be good.
You should avoid loops when you can, try to find a set based approach. You'll get more performance that way.
Here's an article describing why:
http://www.techrepublic.com/blog/datacenter/avoiding-cursors-with-sql-server-2005/412
If you really need loops:
http://www.techrepublic.com/blog/datacenter/comparing-cursor-vs-while-loop-performance-in-sql-server-2008/1741