I needed something similar, but all DAYS instead of all MONTHS.
Using the code from MatBailie as a starting point, here’s the SQL for creating a permanent table with all dates from 2000-01-01 to 2099-12-31:
CREATE TABLE _Dates (
d DATE,
PRIMARY KEY (d)
)
DECLARE @dIncr DATE = '2000-01-01'
DECLARE @dEnd DATE = '2100-01-01'
WHILE ( @dIncr < @dEnd )
BEGIN
INSERT INTO _Dates (d) VALUES( @dIncr )
SELECT @dIncr = DATEADD(DAY, 1, @dIncr )
END