Рекурсивное решение:
CREATE TABLE TestData
(
Id INT PRIMARY KEY,
StartDate DATETIME NOT NULL,
EndDate DATETIME NOT NULL
);
SET DATEFORMAT MDY;
INSERT TestData
SELECT 1, '01/01/2011', '01/10/2011'
UNION ALL
SELECT 2, '01/11/2011', '01/20/2011'
UNION ALL
SELECT 3, '01/25/2011', '02/01/2011'
UNION ALL
SELECT 4, '02/10/2011', '02/15/2011'
UNION ALL
SELECT 5, '02/16/2011', '02/27/2011'
UNION ALL
SELECT 6, '02/28/2011', '03/06/2011'
UNION ALL
SELECT 7, '02/28/2011', '03/03/2011'
UNION ALL
SELECT 8, '03/10/2011', '03/18/2011'
UNION ALL
SELECT 9, '03/19/2011', '03/25/2011';
WITH RecursiveCTE
AS
(
SELECT t.Id, t.StartDate, t.EndDate
,1 AS GroupID
FROM TestData t
WHERE t.Id=1
UNION ALL
SELECT crt.Id, crt.StartDate, crt.EndDate
,CASE WHEN DATEDIFF(DAY,prev.EndDate,crt.StartDate)=1 THEN prev.GroupID ELSE prev.GroupID+1 END
FROM TestData crt
JOIN RecursiveCTE prev ON crt.Id-1=prev.Id
--WHERE crt.Id > 1
)
SELECT cte.GroupID, MIN(cte.StartDate) AS StartDate, MAX(cte.EndDate) AS EndDate
FROM RecursiveCTE cte
GROUP BY cte.GroupID
ORDER BY cte.GroupID;
DROP TABLE TestData;