Cómo dividir una columna en dos columnas en SQL Server

prueba esto:

select 
    case when CHARINDEX('_',name)>0 
         then SUBSTRING(name,1,CHARINDEX('_',name)-1) 
         else name end firstname, 
    CASE WHEN CHARINDEX('_',name)>0 
         THEN SUBSTRING(name,CHARINDEX('_',name)+1,len(name))  
         ELSE NULL END as lastname
from emp

puede usar el comando CASE para controlar si el apellido está disponible.

SQL Fiddle

Configuración del esquema de MS SQL Server 2008 :

Consulta 1 :

declare @t table (id int, name  varchar(50))

insert into @t (id,name) values( 1    ,'abc_rao')
insert into @t (id,name) values( 2    ,'nani')
insert into @t (id,name) values( 3    ,'hari_babu')
insert into @t (id,name) values( 4    ,'kalibabu')
insert into @t (id,name) values( 5    ,'ab_tan')

select 
    case when CHARINDEX('_',name)>0 
         then SUBSTRING(name,1,CHARINDEX('_',name)-1) 
         else name end firstname, 
    CASE WHEN CHARINDEX('_',name)>0 
         THEN SUBSTRING(name,CHARINDEX('_',name)+1,len(name))  
         ELSE NULL END as lastname
from @t

Resultados :

| FIRSTNAME | LASTNAME |
|-----------|----------|
|       abc |      rao |
|      nani |   (null) |
|      hari |     babu |
|  kalibabu |   (null) |
|        ab |      tan |

ACTUALIZADO:sqlfiddle agregado