using sql server 2005, this works for me:
select dateadd(dd,-1,dateadd(mm,datediff(mm,0,YOUR_DATE)+1,0))
Basically, you get the number of months from the beginning of (SQL Server) time for YOUR_DATE. Then add one to it to get the sequence number of the next month. Then you add this number of months to 0 to get a date that is the first day of the next month. From this you then subtract a day to get to the last day of YOUR_DATE.