[sql-server] How do I create a unique constraint that also allows nulls?

You can't do this with a UNIQUE constraint, but you can do this in a trigger.

    CREATE TRIGGER [dbo].[OnInsertMyTableTrigger]
   ON  [dbo].[MyTable]
   INSTEAD OF INSERT
AS 
BEGIN
    SET NOCOUNT ON;

    DECLARE @Column1 INT;
    DECLARE @Column2 INT; -- allow nulls on this column

    SELECT @Column1=Column1, @Column2=Column2 FROM inserted;

    -- Check if an existing record already exists, if not allow the insert.
    IF NOT EXISTS(SELECT * FROM dbo.MyTable WHERE Column1=@Column1 AND Column2=@Column2 @Column2 IS NOT NULL)
    BEGIN
        INSERT INTO dbo.MyTable (Column1, Column2)
            SELECT @Column2, @Column2;
    END
    ELSE
    BEGIN
        RAISERROR('The unique constraint applies on Column1 %d, AND Column2 %d, unless Column2 is NULL.', 16, 1, @Column1, @Column2);
        ROLLBACK TRANSACTION;   
    END

END