TSQL 101 UNION vs UNION ALL

UNION includes items only once, even if they exist in both sets.
UNION ALL includes items twice if they exist in both sets.

SELECT 'first' UNION
SELECT 'first'

= 'first'

SELECT 'first' UNION ALL
SELECT 'first'

= 'first', 'first'

Neat. This made me wonder if INTERSECT exists in TSQL. To my delight, both INTERSECT and EXCEPT exist.