[sql] SQL Server - transactions roll back on error?

You are correct in that the entire transaction will be rolled back. You should issue the command to roll it back.

You can wrap this in a TRY CATCH block as follows

BEGIN TRY
    BEGIN TRANSACTION

        INSERT INTO myTable (myColumns ...) VALUES (myValues ...);
        INSERT INTO myTable (myColumns ...) VALUES (myValues ...);
        INSERT INTO myTable (myColumns ...) VALUES (myValues ...);

    COMMIT TRAN -- Transaction Success!
END TRY
BEGIN CATCH
    IF @@TRANCOUNT > 0
        ROLLBACK TRAN --RollBack in case of Error

    -- you can Raise ERROR with RAISEERROR() Statement including the details of the exception
    RAISERROR(ERROR_MESSAGE(), ERROR_SEVERITY(), 1)
END CATCH

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