Puede usar una función con COALESCE.
CREATE FUNCTION [dbo].[GetAliasesById]
(
@userID int
)
RETURNS varchar(max)
AS
BEGIN
declare @output varchar(max)
select @output = COALESCE(@output + ', ', '') + alias
from UserAliases
where userid = @userID
return @output
END
GO
SELECT UserID, dbo.GetAliasesByID(UserID)
FROM UserAliases
GROUP BY UserID
GO