--用@@error判断错误，如果是严重错误，根本不会执行rollback tran语句，系统会自动中止执行。
--建议用格式类似如下方式使用事务：
set xact_abort on

begin tran

....


commit tran

------解决方案--------------------
SQL code

SET NOCOUNT  ON 
SET XACT_ABORT ON
DECLARE @s_scddh varchar(12),@s_sxh int 

DECLARE sk_temp CURSOR FOR   
   SELECT scddh,sxh 
     FROM  #temp_sk ORDER BY sxh 

OPEN sk_temp 

FETCH NEXT FROM sk_temp INTO @s_scddh,@s_sxh 

WHILE @@FETCH_STATUS   =   0 
BEGIN 
      SELECT scddh 
         FROM erp_pp_a 
            WHERE scddh = @s_scddh and (gxmc = 'AA')   
      IF @@ROWCOUNT = 0 
       BEGIN
         BEGIN Tran myTran           
            insert into erp_pp_bg_pr_e(scddh,gxmc,sxh,user_name) 
              values (@s_scddh,'AA',@s_sxh+5, '补数') 
         COMMIT Tran        
       END      
      FETCH  NEXT FROM sk_temp INTO @s_scddh,@s_sxh 
END 

CLOSE   sk_temp 
DEALLOCATE sk_temp 
GO

------解决方案--------------------
SET   XACT_ABORT     {ON ¦OFF}  
当   SET   XACT_ABORT   为   ON   时，如果   Transact-SQL   语句产生运行时错误，整个事务将终止并回滚。  
为   OFF   时，只回滚产生错误的   Transact-SQL   语句，而事务将继续进行处理。  

如果没有对   SET   XACT_ABORT   {ON ¦OFF}   进行设置，默认情况是ON还是OFF??  

OFF!