Try to use ;
instead of GO
. It worked for me for 2008 R2 version
DECLARE @GLOBAL_VAR_1 INT = Value_1;
DECLARE @GLOBAL_VAR_2 INT = Value_2;
USE "DB_1";
SELECT * FROM "TABLE" WHERE "COL_!" = @GLOBAL_VAR_1
AND "COL_2" = @GLOBAL_VAR_2;
USE "DB_2";
SELECT * FROM "TABLE" WHERE "COL_!" = @GLOBAL_VAR_2;