Also you can use COALESCE instead of CASE expression. Because result of concatenating anything to NULL, even itself, is always NULL
INSERT TblStuff(FullName,Address,City,Zip)
SELECT COALESCE(Fname + ' ' + Middle + ' ' + Lname, Fname + LName) AS FullName,
COALESCE(Address1 + ', ' + Address2, Address1) AS Address, City, Zip
FROM tblImport
Demo on SQLFiddle