[sql-server] How to use the PRINT statement to track execution as stored procedure is running?

SQL Server returns messages after a batch of statements has been executed. Normally, you'd use SQL GO to indicate the end of a batch and to retrieve the results:

PRINT '1'
GO

WAITFOR DELAY '00:00:05'

PRINT '2'
GO

WAITFOR DELAY '00:00:05'

PRINT '3'
GO

In this case, however, the print statement you want returned immediately is in the middle of a loop, so the print statements cannot be in their own batch. The only command I know of that will return in the middle of a batch is RAISERROR (...) WITH NOWAIT, which gbn has provided as an answer as I type this.